Robust Kalman tracking and smoothing with propagating and non-propagating outliers

DOI10.48550/ARXIV.1204.3358zbMATH Open1284.93234arXiv1204.3358OpenAlexW3104355006MaRDI QIDQ123767FDOQ123767

P. Ruckdeschel, Peter Ruckdeschel, Daria Pupashenko, Bernhard Spangl, Bernhard Spangl, Daria Pupashenko

Publication date: 16 April 2012

Published in: Statistical Papers (Search for Journal in Brave)

Abstract: A common situation in filtering where classical Kalman filtering does not perform particularly well is tracking in the presence of propagating outliers. This calls for robustness understood in a distributional sense, i.e.; we enlarge the distribution assumptions made in the ideal model by suitable neighborhoods. Based on optimality results for distributional-robust Kalman filtering from Ruckdeschel[01,10], we propose new robust recursive filters and smoothers designed for this purpose as well as specialized versions for non-propagating outliers. We apply these procedures in the context of a GPS problem arising in the car industry. To better understand these filters, we study their behavior at stylized outlier patterns (for which they are not designed) and compare them to other approaches for the tracking problem. Finally, in a simulation study we discuss efficiency of our procedures in comparison to competitors.

Full work available at URL: https://arxiv.org/abs/1204.3358

zbMATH Keywords

robustnessextended Kalman filterKalman filteringKalman smootherpropagating outliers

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Robustness and adaptive procedures (parametric inference) (62F35)

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Cited In (7)

• Conditionally Gaussian random sequences for an integrated variance estimator with correlation between noise and returns
• Output outlier robust state estimation
• Real Time Anomaly Detection And Categorisation
• RobKF
• Robust Two-Step Wavelet-Based Inference for Time Series Models
• Robust estimation of linear state space models
• Jump-diffusion risk-sensitive benchmarked asset management with traditional and alternative data

Uses Software

• R
• S-PLUS
• CRAN
• mvtnorm
• MASS (R)
• robfilter

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