Outlier-robust Kalman Filtering through Generalised Bayes

arXiv:2405.05646v1 Announce Type: cross
Abstract: We derive a novel, provably robust, 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 Kalman filter. We use the former to show robustness and the latter to ensure computational efficiency in the case of nonlinear models. Our method matches or outperforms other robust filtering methods (such as those …

abstract arxiv bayes bayesian bayesian inference cs.lg ensemble filter filtering form inference measurement novel outlier outliers robust show space state stat.ml through type update