Backward hidden Markov chain for outlier-robust filtering and fixed-interval smoothing - Archive ouverte HAL Access content directly
Conference Papers Year : 2013

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

(1) , (1)
1

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.
Not file

Dates and versions

cea-01830771 , version 1 (05-07-2018)

Identifiers

Cite

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⟩

Collections

CEA DRT LIST DM2I
22 View
0 Download

Altmetric

Share

Gmail Facebook Twitter LinkedIn More