State estimation under non-Gaussian Lévy noise: A modified Kalman filtering method

Xu Sun, et al. "State estimation under non-Gaussian Lévy noise: A modified Kalman filtering method." Banach Center Publications 105.1 (2015): 239-246. <http://eudml.org/doc/281655>.

@article{XuSun2015,
abstract = {The Kalman filter is extensively used for state estimation for linear systems under Gaussian noise. When non-Gaussian Lévy noise is present, the conventional Kalman filter may fail to be effective due to the fact that the non-Gaussian Lévy noise may have infinite variance. A modified Kalman filter for linear systems with non-Gaussian Lévy noise is devised. It works effectively with reasonable computational cost. Simulation results are presented to illustrate this non-Gaussian filtering method.},
author = {Xu Sun, Jinqiao Duan, Xiaofan Li, Xiangjun Wang},
journal = {Banach Center Publications},
language = {eng},
number = {1},
pages = {239-246},
title = {State estimation under non-Gaussian Lévy noise: A modified Kalman filtering method},
url = {http://eudml.org/doc/281655},
volume = {105},
year = {2015},
}

TY - JOUR
AU - Xu Sun
AU - Jinqiao Duan
AU - Xiaofan Li
AU - Xiangjun Wang
TI - State estimation under non-Gaussian Lévy noise: A modified Kalman filtering method
JO - Banach Center Publications
PY - 2015
VL - 105
IS - 1
SP - 239
EP - 246
AB - The Kalman filter is extensively used for state estimation for linear systems under Gaussian noise. When non-Gaussian Lévy noise is present, the conventional Kalman filter may fail to be effective due to the fact that the non-Gaussian Lévy noise may have infinite variance. A modified Kalman filter for linear systems with non-Gaussian Lévy noise is devised. It works effectively with reasonable computational cost. Simulation results are presented to illustrate this non-Gaussian filtering method.
LA - eng
UR - http://eudml.org/doc/281655
ER -