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Kybernetika 38(4):425-443, 2002.

On Improving Sensitivity of the Kalman Filter.

Petr Franěk


Abstract:

The impact of additive outliers on a performance of the Kalman filter is discussed and less outlier-sensitive modification of the Kalman filter is proposed. The improved filter is then used to obtain an improved smoothing algorithm and an improved state-space model parameters estimation.


Keywords:


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BIB TeX

@article{kyb:2002:4:425-443,

author = {Fran\v{e}k, Petr},

title = {On Improving Sensitivity of the Kalman Filter.},

journal = {Kybernetika},

volume = {38},

year = {2002},

number = {4},

pages = {425-443}

publisher = {{\'U}TIA, AV {\v C}R, Prague },

}


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