2024
Outlier-robust Kalman Filtering through Generalised Bayes
Gerardo Duran-Martin, Matias Altamirano, Alex Shestopaloff, Leandro Sánchez-Betancourt, Jeremias Knoblauch, Matt Jones +2
ICML 2024poster
We derive a novel, provably robust, efficient, and closed-form Bayesian update rule for online filtering in state-space models in the presence of outliers and misspecified measurement models. Our method combines generalised Bayesian inference with filtering methods such as the extended and ensemble…