A STUDENT'S T FILTER FOR HEAVY TAILED PROCESS AND MEASUREMENT NOISE

被引：0
|
作者：
Roth, Michael [1 ]
Ozkan, Emre [1 ]
Gustafsson, Fredrik [1 ]
机构：
[1] Linkoping Univ, Div Automat Control, Linkoping, Sweden
来源：
2013 IEEE INTERNATIONAL CONFERENCE ON ACOUSTICS, SPEECH AND SIGNAL PROCESSING (ICASSP) | 2013年
关键词：
Student's t distribution; Kalman filter; robustness; outliers;
D O I：
暂无
中图分类号：
O42 [声学];
学科分类号：
070206 ; 082403 ;
摘要：
We consider the filtering problem in linear state space models with heavy tailed process and measurement noise. Our work is based on Student's t distribution, for which we give a number of useful results. The derived filtering algorithm is a generalization of the ubiquitous Kalman filter, and reduces to it as special case. Both Kalman filter and the new algorithm are compared on a challenging tracking example where a maneuvering target is observed in clutter.
引用
收藏
页码：5770 / 5774
页数：5
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