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Journal of Geodesy

, Volume 88, Issue 4, pp 391–401 | Cite as

Robust Kalman filtering based on Mahalanobis distance as outlier judging criterion

  • Guobin ChangEmail author
Original Article

Abstract

A robust Kalman filter scheme is proposed to resist the influence of the outliers in the observations. Two kinds of observation error are studied, i.e., the outliers in the actual observations and the heavy-tailed distribution of the observation noise. Either of the two kinds of errors can seriously degrade the performance of the standard Kalman filter. In the proposed method, a judging index is defined as the square of the Mahalanobis distance from the observation to its prediction. By assuming that the observation is Gaussian distributed with the mean and covariance being the observation prediction and its associate covariance, the judging index should be Chi-square distributed with the dimension of the observation vector as the degree of freedom. Hypothesis test is performed to the actual observation by treating the above Gaussian distribution as the null hypothesis and the judging index as the test statistic. If the null hypothesis should be rejected, it is concluded that outliers exist in the observations. In the presence of outliers scaling factors can be introduced to rescale the covariance of the observation noise or of the innovation vector, both resulting in a decreased filter gain. And the scaling factors can be solved using the Newton’s iterative method or in an analytical manner. The harmful influence of either of the two kinds of errors can be effectively resisted in the proposed method, so robustness can be achieved. Moreover, as the number of iterations needed in the iterative method may be rather large, the analytically calculated scaling factor should be preferred.

Keywords

Kalman filter Robust Hypothesis test Mahalanobis distance 

Notes

Acknowledgments

I am grateful to the associate editor and three anonymous reviewers for their valuable comments. This work was supported by the National Basic Research Program of China (973 Program, No. 2012CB719902) and the National Natural Science Foundation of China (No.41274013).

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Copyright information

© Springer-Verlag Berlin Heidelberg 2014

Authors and Affiliations

  1. 1.Tianjin Institute of Hydrographic Surveying and ChartingTianjinChina
  2. 2.Naval University of EngineeringWuhanChina

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