An \ell _{1}-Laplace Robust Kalman Smoother
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Publication:5347922
Cited in
(17)- Bayesian frequentist bounds for machine learning and system identification
- Robust EM kernel-based methods for linear system identification
- Joint maximum \textit{a posteriori} state path and parameter estimation in stochastic differential equations
- Generalized Kalman smoothing: modeling and algorithms
- Robust algorithms via PAC-Bayes and Laplace distributions
- Robust and Trend-Following Student's t Kalman Smoothers
- Sparse/Robust Estimation and Kalman Smoothing with Nonsmooth Log-Concave Densities: Modeling, Computation, and Theory
- Laplace \(\ell_1\) square-root cubature Kalman filter for non-Gaussian measurement noises
- Robust fixed-lag smoothing under model perturbations
- Robust continuous-time smoothers without two-sided stochastic integrals
- An inequality constrained nonlinear Kalman-Bucy smoother by interior point likelihood maximization
- Maximum a posteriori state path estimation: discretization limits and their interpretation
- Fast robust methods for singular state-space models
- An iterative Kalman smoother/least-squares algorithm for the identification of delta-ARX models
- Simultaneous input and state estimation: from a unified least-squares perspective
- Sparse Kalman filtering approaches to realized covariance estimation from high frequency financial data
- Generalized system identification with stable spline kernels
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