Adaptive Kalman Filtering with Multivariate Generalized Laplace System Noise
dc.contributor.author | Khawsithiwong, P. | |
dc.contributor.author | Yatawara, Nihal | |
dc.contributor.author | Pongsapukdee, V. | |
dc.date.accessioned | 2017-01-30T13:03:50Z | |
dc.date.available | 2017-01-30T13:03:50Z | |
dc.date.created | 2011-11-07T20:01:08Z | |
dc.date.issued | 2011 | |
dc.identifier.citation | Khawsithiwong, Pairoj and Yatawara, Nihal and Pongsapukdee, Veeeranun. 2011. Adaptive Kalman Filtering with Multivariate Generalized Laplace System Noise. Communications in Statistics - Simulation and Computation. 40 (9): pp. 1278-1290. | |
dc.identifier.uri | http://hdl.handle.net/20.500.11937/28235 | |
dc.identifier.doi | 10.1080/03610918.2011.568153 | |
dc.description.abstract |
An adaptive Kalman filter is proposed to estimate the stats of a system where the system noise is assumed to be a multivariate generalized Laplace random vector. In the presence of outliers in the system noise, it is shown that improved state estimates can be obtained by using an adaptive factor to estimate the dispersion matrix of the system noise term. For the implementation of the filter, an algorithm which includes both single and multiple adaptive factors is proposed. A Monte-Carlo investigation is also carried out to access the performance of the proposed filters in comparison with other robust filters. The results show that, in the sense of minimum mean squared state error, the proposed filter is superior to other filters when the magnitude of a system change is moderate or large. | |
dc.publisher | Taylor and Francis | |
dc.subject | Adaptive filter - Multivariate generalized Laplace distribution - System noise outlier | |
dc.title | Adaptive Kalman Filtering with Multivariate Generalized Laplace System Noise | |
dc.type | Journal Article | |
dcterms.source.volume | 40 | |
dcterms.source.startPage | 1278 | |
dcterms.source.endPage | 1290 | |
dcterms.source.issn | 03610918 | |
dcterms.source.title | Communications in Statistics - Simulation and Computation | |
curtin.department | Department of Mathematics and Statistics | |
curtin.accessStatus | Open access |