Approximate non-Gaussian filtering with linear state and observation relations

Cited in

(41)

Robust estimation for ARMA models
The Kalman-Bucy method of optimal filtering and its generalizations
Detection and estimation for abruptly changing systems
High-order filters for estimation in non-Gaussian noise
Methods for recursive robust estimation of AR parameters
On the optimal control of stochastic linear systems with contaminated partial observations
Robust locally optimal filters: Kalman and Bayesian estimation theory
Kalman filter with outliers and missing observations
Suboptimal Kalman filtering for linear systems with Gaussian-sum type of noise
An adaptive robustizing approach to Kalman filtering
The Kantorovich inequality for error analysis of the Kalman filter with unknown noise distributions
Quadratic estimation for discrete time-varying non-Gaussian systems with multiplicative noises and quantization effects
Good, great, or lucky? Screening for firms with sustained superior performance using heavy-tailed priors
A characterization of Bayesian robustness for a normal location parameter
Robust exponential smoothing of multivariate time series
A semi-definite programming approach for robust tracking
Dynamic spatial Bayesian models for radioactivity deposition
Adaptive Kalman filtering with multivariate generalized Laplace system noise
On improving sensitivity of the Kalman filter.
Linear and non-linear filters for linear, but not gaussian processes†
Optimal collapsing of mixture distributions in robust recursive estimation
Robust Kalman filter for linear discrete-time system with gaussian sum noises
scientific article; zbMATH DE number 4064318 (Why is no real title available?)
Robust ε-contaminated gaussian filtering of discrete-time linear systems
scientific article; zbMATH DE number 61455 (Why is no real title available?)
Kalman filter with a non-linear non-Gaussian observation relation
RECURSIVE GENERALIZED M ESTIMATES FOR AUTOREGRESSIVE MOVING-AVERAGE MODELS
On robust Kalman filtering
Robust estimates for arch processes
Robust estimation iin time series: an approximation to the gaussian sum filter
On practical implementation of robust kalman filtering
Parameter estimation of autoregressive models using the iteratively robust filtered fast- method
Prediction risk for the horseshoe regression
Robust and adaptive algorithms for online portfolio selection
State and parameter joint estimation of linear stochastic systems in presence of faults and <scp>non‐Gaussian</scp> noises
A robust score-driven filter for multivariate time series
Distributed estimation for multi‐agent systems with relative measurements and quantized communication: A feedback quadratic framework
Bellman filtering and smoothing for state-space models
Bayesian \(l_0\)-regularized least squares
Robust estimation of (partial) autocorrelation
Unobserved component models, approximate filters and dynamic adaptive mixture models

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