A simple asymptotically optimal filter over an infinite horizon.
Chigansky, P., Liptser, R., Bobrovsky, B.Z. (2001)
Journal of Applied Mathematics and Stochastic Analysis
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Displaying similar documents to “Filtering with a limiter (improved performance).”
A simple asymptotically optimal filter over an infinite horizon.
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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.
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