Abstract
The dynamic linear model with a non-linear non-Gaussian observation relation is considered in this paper. Masreliez's theorem (see Masreliez's (1975)) of approximate non-Gaussian filtering with linear state and observation relations is extended to the case of a non-linear observation relation relation that can be approximated by a second-order Taylor expansion.
Resumen
El modelo lineal dinámico con observación nolineal y no-Gausiano se estudia en este artículo. Se extiende el teorema de Masreliez (ver. Masreliez (1975)) como una aproximación de filtrado no-Gausiano con ecuación de estado lineal y ecuación de observaciones también lineal, al caso en que la ecuación de observaciones nolineal pueda aproximarse mediante la extesión de Taylor de segundo orden.
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Cipra, T., Rubio, A. Kalman filter with a non-linear non-Gaussian observation relation. TDE 6, 111–119 (1991). https://doi.org/10.1007/BF02873526
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DOI: https://doi.org/10.1007/BF02873526