Use of the Kalman Filter for Inference in State-Space Models With Unknown Noise Distributions

DOI10.1109/TAC.2003.821415MaRDI QIDQ5273663zbMATH OpenOpenAlexWikidataFDO

Authors John L. Maryak, James C. Spall, Bryan D. Heydon

Publication date 12 July 2017

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tac.2003.821415

Mathematics Subject Classification ID

Gaussian processes (60G15) Filtering in stochastic control theory (93E11) Inequalities; stochastic orderings (60E15) Signal detection and filtering (aspects of stochastic processes) (60G35)

Cited in

(13)

• On consistency and stability of distributed Kalman filter under mismatched noise covariance and uncertain dynamics
• Minimax estimation by probabilistic criterion
• Online stochastic convergence analysis of the Kalman filter
• A novel robust MM filter against outliers
• Confidence analysis of linear unbiased estimates under uncertain unimodal noise distributions
• Robust planar tracking via a virtual measurement approach
• Feedback quadratic filtering
• Prior knowledge processing for initial state of Kalman filter
• Asymptotic distribution theory for the kalman filter state estimator
• A Generalization of the Kalman Filter for Models With State-Dependent Observation Variance
• Error-constrained finite-horizon tracking control with incomplete measurements and bounded noises
• Separate bias Kalman estimator with bias state noise
• A Stochastic Approximation-Langevinized Ensemble Kalman Filter Algorithm for State Space Models with Unknown Parameters

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