Innovative And Additive Outlier Robust Kalman Filtering With A Robust Particle Filter

7 Jul 2020Alexander T. M. FischIdris A. EckleyP. Fearnhead

In this paper, we propose CE-BASS, a particle mixture Kalman filter which is robust to both innovative and additive outliers, and able to fully capture multi-modality in the distribution of the hidden state. Furthermore, the particle sampling approach re-samples past states, which enables CE-BASS to handle innovative outliers which are not immediately visible in the observations, such as trend changes... (read more)

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