Kalman filter with a non-linear non-Gaussian observation relation.
Tomás Cipra, Asunción Rubio (1991)
Trabajos de Estadística
Similarity:
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.