Geodesic
On improving sensitivity of the Kalman filter
Kybernetika, Tome 38 (2002) no. 4, p. [425].

Voir la notice de l'article provenant de la source Czech Digital Mathematics Library

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 
@article{KYB_2002__38_4_a2,
     author = {Fran\v{e}k, Petr},
     title = {On improving sensitivity of the {Kalman} filter},
     journal = {Kybernetika},
     pages = {[425]},
     publisher = {mathdoc},
     volume = {38},
     number = {4},
     year = {2002},
     mrnumber = {1937138},
     zbl = {1264.62083},
     language = {en},
     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, p. [425]. http://geodesic.mathdoc.fr/item/KYB_2002__38_4_a2/