Innovative and Additive Outlier Robust Kalman Filtering With a Robust Particle Filter
Alexander T. M. Fisch, Idris A. Eckley, Paul Fearnhead
Abstract
In this paper, we propose CE-BASS, a particle mixture Kalman filter which is robust to both innovative and additive outliers, and able to fully capture multi-modality in the distribution of the hidden state. Furthermore, the particle sampling approach re-samples past states, which enables CE-BASS to handle innovative outliers which are not immediately visible in the observations, such as trend changes. The filter is computationally efficient as we derive new, accurate approximations to the optimal proposal distributions for the particles. The proposed algorithm is shown to compare well with existing approaches and is applied to both machine temperature and server data.
Topics & Concepts
OutlierKalman filterEnsemble Kalman filterParticle filterComputer scienceAlgorithmAnomaly detectionRobust statisticsExtended Kalman filterArtificial intelligencePattern recognition (psychology)Data miningTarget Tracking and Data Fusion in Sensor NetworksAnomaly Detection Techniques and ApplicationsTime Series Analysis and Forecasting