Exact Consistency Tests for Gaussian Mixture Filters using Normalized Deviation Squared Statistics

arXiv:2312.17420v2 Announce Type: replace-cross
Abstract: We consider the problem of evaluating dynamic consistency in discrete time probabilistic filters that approximate stochastic system state densities with Gaussian mixtures. Dynamic consistency means that the estimated probability distributions correctly describe the actual uncertainties. As such, the problem of consistency testing naturally arises in applications with regards to estimator tuning and validation. However, due to the general complexity of the density functions involved, straightforward approaches for consistency testing of mixture-based estimators have remained challenging …

abstract arxiv cs.cv cs.ro cs.sy deviation dynamic eess.sy filters probability stat.ap state statistics stat.me stochastic testing tests type