Innovative and/or Additive Outlier Robust Kalman Filtering
A huberisation based additive outlier robust Kalman filter
A t-distribution based additive outlier robust Kalman filter
Simulate data from a Kalman model
An innovative and additive outlier robust Kalman filter
A huberisation based innovative outlier robust Kalman filter
The classical Kalman filter
plot
Summary
Implements a series of robust Kalman filtering approaches. It implements the additive outlier robust filters of Ruckdeschel et al. (2014) <arXiv:1204.3358> and Agamennoni et al. (2018) <doi:10.1109/ICRA.2011.5979605>, the innovative outlier robust filter of Ruckdeschel et al. (2014) <arXiv:1204.3358>, as well as the innovative and additive outlier robust filter of Fisch et al. (2020) <arXiv:2007.03238>.