New look at the Student's t-based Kalman filter from maximum a posterior perspective

被引：1

作者：

Qin, Fangjun ^{[1
]}

Chang, Lubin ^{[1
]}

Zha, Feng ^{[1
]}

机构：

[1] Naval Univ Engn, Dept Nav Engn, Wuhan, Hubei, Peoples R China

来源：

IET RADAR SONAR AND NAVIGATION | 2018年 / 12卷 / 08期

关键词：

Kalman filters; maximum likelihood estimation; Bayes methods; probability; student t-based Kalman filter; STKF; Bayesian maximum a posterior perspective; linear system; heavy-tailed measurement noise; M-estimator; Cauchy function; likelihood probability density function; elliptical distribution;

D O I：

10.1049/iet-rsn.2017.0422

中图分类号：

TM [电工技术]; TN [电子技术、通信技术];

学科分类号：

0808 ; 0809 ;

摘要：

In this study, the newly derived Student's t-based Kalman filter (STKF) is re-derived from Bayesian maximum a posterior perspective for linear systems with heavy-tailed measurement noises. This re-derivation reveals that the STKF is an M-estimator with Cauchy function as the robust cost function. The presented re-derivation can also be used as the unified procedure to derive robust Kalman-type filters by assuming the likelihood probability density function to be elliptical distributions.

引用

页码：795 / 800

页数：6

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