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State estimation under non-Gaussian Levy noise: A modified Kalman filtering method
Kalman filter modified Kalman filter Non-Gaussiannoise L′evy noise state estimation data assimilation
2013/4/28
The Kalman filter is extensively used for state estimation for linear systems under Gaussian noise. When non-Gaussian L\'evy noise is present, the conventional Kalman filter may fail to be effective d...
Kalman Filtering with Intermittent Observations：Weak Convergence to a Stationary Distribution
Kalman Filtering Intermittent Observations Weak Convergence Stationary Distribution
2010/3/19
The paper studies the asymptotic behavior of Random Algebraic Riccati Equations (RARE) arising
in Kalman filtering when the arrival of the observations is described by a Bernoulli i.i.d. process. We ...