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Improved Calibration of Numerical Integration Error in Sigma-Point Filters
The sigma-point filters, such as the UKF, which exploit numerical quadrature to obtain an additional order of accuracy in the moment transformation step, are popular alternatives to the ubiquitous EKF.
Student-t Process Quadratures for Filtering of Non-Linear Systems with Heavy-Tailed Noise
Advantage of the Student- t process quadrature over the traditional Gaussian process quadrature, is that the integral variance depends also on the function values, allowing for a more robust modelling of the integration error.
Gaussian Process Quadrature Moment Transform
Computation of moments of transformed random variables is a problem appearing in many engineering applications.
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