Robust Recursive Estimation in the Presence of Heavy-Tailed Observation Noise
重尾观测噪声下的稳健递归估计
Under the usual assumptions of normality, the recursive estimator known as the Kalman filter gives excellent results and has found an extremely broad field of application--not only for estimating the state of a stochastic dynamic system, but also for estimating model parameters as well as detecting abrupt changes in the states or the parameters. It is well known, however, that significantly nonnormal noise, and particularly the presence of outliers, severely degrades the…