Adaptive Kalman Filtering with Multivariate Generalized Laplace System Noise

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Adaptive Kalman Filtering with Multivariate Generalized Laplace System Noise

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...

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Bibliographic Details
Main Authors:	Khawsithiwong, P., Yatawara, Nihal, Pongsapukdee, V.
Format:	Journal Article
Published:	Taylor and Francis 2011
Subjects:	Adaptive filter - Multivariate generalized Laplace distribution - System noise outlier
Online Access:	http://hdl.handle.net/20.500.11937/28235

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