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A Student s t filter for heavy tailed process and measurement noise

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2013-05-26
Roth, Michael
Özkan, Emre
Gustafsson, Fredrik
We consider the filtering problem in linear state space models with heavy tailed process and measurement noise. Our work is based on Student's t distribution, for which we give a number of useful results. The derived filtering algorithm is a generalization of the ubiquitous Kalman filter, and reduces to it as special case. Both Kalman filter and the new algorithm are compared on a challenging tracking example where a maneuvering target is observed in clutter.