Accession Number:

ADA149044

Title:

Robust Kalman Filtering and Its Applications.

Descriptive Note:

Technical summary rept.,

Corporate Author:

WISCONSIN UNIV-MADISON MATHEMATICS RESEARCH CENTER

Personal Author(s):

Report Date:

1984-10-01

Pagination or Media Count:

36.0

Abstract:

This paper presents a robust Kalman filtering algorithm that is obtained assuming a scale contaminated normal distribution for the noise of the measurement equation. The mixture of normals obtained as a posterior distribution is approximated at each stage by a normal distribution with the same mean and variance. The resulting algorithm is simple, has a straightforward interpretation and seems to provide useful robust estimators in several statistical problems that are briefly reviewed. Originator-supplied keywords include Robustness, and mixtures of normals.

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE