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Conference papers
Backward hidden Markov chain for outlier-robust filtering and fixed-interval smoothing
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.
https://hal-cea.archives-ouvertes.fr/cea-01830771
Contributor : Léna Le Roy Connect in order to contact the contributor
Submitted on : Thursday, July 5, 2018 - 1:12:51 PM
Last modification on : Saturday, June 25, 2022 - 9:11:35 PM
Contributor : Léna Le Roy Connect in order to contact the contributor
Submitted on : Thursday, July 5, 2018 - 1:12:51 PM
Last modification on : Saturday, June 25, 2022 - 9:11:35 PM