A novel robust Kalman filter with unknown non-stationary heavy-tailed noise
Hao Zhu, Guorui Zhang, Yongfu Li, Henry Leung
Topics & Concepts
CovarianceCovariance intersectionMathematicsInverse-Wishart distributionEstimation of covariance matricesKalman filterWishart distributionCovariance functionGaussianPrior probabilityEnsemble Kalman filterExtended Kalman filterBayesian probabilityStatisticsMultivariate statisticsPhysicsQuantum mechanicsTarget Tracking and Data Fusion in Sensor NetworksGaussian Processes and Bayesian InferenceFault Detection and Control Systems