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On improving sensitivity of the Kalman filter
Kybernetika, Tome 38 (2002) no. 4, pp. 425-443 Cet article a éte moissonné depuis la source Czech Digital Mathematics Library

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The impact of additive outliers on a performance of the Kalman filter is discussed and less outlier-sensitive modification of the Kalman filter is proposed. The improved filter is then used to obtain an improved smoothing algorithm and an improved state-space model parameters estimation.
The impact of additive outliers on a performance of the Kalman filter is discussed and less outlier-sensitive modification of the Kalman filter is proposed. The improved filter is then used to obtain an improved smoothing algorithm and an improved state-space model parameters estimation.
Classification : 62M20, 65C60, 93B35, 93E11
Keywords: outliers; smoothing algorithm; parameters estimation 
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     title = {On improving sensitivity of the {Kalman} filter},
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     url = {http://geodesic.mathdoc.fr/item/KYB_2002_38_4_a2/}
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Franěk, Petr. On improving sensitivity of the Kalman filter. Kybernetika, Tome 38 (2002) no. 4, pp. 425-443. http://geodesic.mathdoc.fr/item/KYB_2002_38_4_a2/

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