Outlier-robust Kalman filtering through generalised Bayes
We derive a novel, provably robust, efficient, and closed-form Bayesian update rule for online filtering in state-space models in the presence of outliers and misspecified measurement models. Our method combines generalised Bayesian inference with filtering methods such as the extended and ensemble...
| Main Authors: | , , , , , , , |
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| Format: | Conference item |
| Language: | English |
| Published: |
Journal of Machine Learning Research
2024
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