Outlier-Insensitive Kalman Filtering: Theory and Applications

1 code implementation • 18 Sep 2023 • Shunit Truzman, Guy Revach, Nir Shlezinger, Itzik Klein

State estimation of dynamical systems from noisy observations is a fundamental task in many applications.

Outlier Detection

Outlier-Insensitive Kalman Filtering Using NUV Priors

1 code implementation • 12 Oct 2022 • Shunit Truzman, Guy Revach, Nir Shlezinger, Itzik Klein

The former was previously proposed for the task of smoothing with outliers and was adapted here to filtering, while both EM and AM obtained the same performance and outperformed the other algorithms, the AM approach is less complex and thus requires 40 percentage less run-time.