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Backward hidden Markov chain for outlier-robust filtering and fixed-interval smoothing

B. Ait-El-Fquih 1 Cedric Gouy-Pailler 1
1 LADIS - Laboratoire d'analyse des données et d'intelligence des systèmes
DM2I - Département Métrologie Instrumentation & Information : DRT/LIST/DM2I
Abstract : This paper addresses the problem of recursive estimation of a process in presence of outliers among the observations. It focuses on deriving robust approximate Kalman-like backward filtering and backward-forward fixed-interval smoothing algorithms in the context of linear hidden Markov chain with heavy-tailed measurement noise. The proposed algorithms are derived based on the backward Markovianity of the model as well as the variational Bayesian approach. In a simulation design, our algorithms are shown to outperform the classical Kalman filter in the presence of outliers.
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https://hal-cea.archives-ouvertes.fr/cea-01830771
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Submitted on : Thursday, July 5, 2018 - 1:12:51 PM
Last modification on : Monday, March 30, 2020 - 2:36:03 PM

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B. Ait-El-Fquih, Cedric Gouy-Pailler. Backward hidden Markov chain for outlier-robust filtering and fixed-interval smoothing. 2013 IEEE International Conference on Acoustics, Speech and Signal Processing, May 2013, Vancouver, BC, Canada. pp.5504-5508, ⟨10.1109/ICASSP.2013.6638716⟩. ⟨cea-01830771⟩

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