Kalman filter with a non-linear non-Gaussian observation relation.

Cipra, Tomás, and Rubio, Asunción. "Kalman filter with a non-linear non-Gaussian observation relation.." Trabajos de Estadística 6.2 (1991): 111-119. <http://eudml.org/doc/40560>.

@article{Cipra1991,
abstract = {The dynamic linear model with a non-linear non-Gaussian observation relation is considered in this paper. Masreliez's theorem (see Masreliez's (1975)) of approximate non-Gaussian filtering with linear state and observation relations is extended to the case of a non-linear observation relation that can be approximated by a second-order Taylor expansion.},
author = {Cipra, Tomás, Rubio, Asunción},
journal = {Trabajos de Estadística},
keywords = {Predicción; Filtro Kalman; Robustez; Kalman filter; dynamic linear model; nonlinear non-Gaussian observation relation; approximate non-Gaussian filtering; second-order Taylor expansion},
language = {eng},
number = {2},
pages = {111-119},
title = {Kalman filter with a non-linear non-Gaussian observation relation.},
url = {http://eudml.org/doc/40560},
volume = {6},
year = {1991},
}

TY - JOUR
AU - Cipra, Tomás
AU - Rubio, Asunción
TI - Kalman filter with a non-linear non-Gaussian observation relation.
JO - Trabajos de Estadística
PY - 1991
VL - 6
IS - 2
SP - 111
EP - 119
AB - The dynamic linear model with a non-linear non-Gaussian observation relation is considered in this paper. Masreliez's theorem (see Masreliez's (1975)) of approximate non-Gaussian filtering with linear state and observation relations is extended to the case of a non-linear observation relation that can be approximated by a second-order Taylor expansion.
LA - eng
KW - Predicción; Filtro Kalman; Robustez; Kalman filter; dynamic linear model; nonlinear non-Gaussian observation relation; approximate non-Gaussian filtering; second-order Taylor expansion
UR - http://eudml.org/doc/40560
ER -