Robust Kalman filter for rank deficient observation models |
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| Authors: | K R Koch Y Yang |
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| Institution: | (1) Institute for Theoretical Geodesy of the University of Bonn, Nussallee 17, D-53115 Bonn, Germany Tel.:+49 228 73 2626; fax:+49 228 73 3029; e-mail: koch@theor.geod.uni-bonn.de, DE |
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| Abstract: | A robust Kalman filter is derived for rank deficient observation models. The datum for the Kalman filter is introduced at
the zero epoch by the choice of a generalized inverse. The robust filter is obtained by Bayesian statistics and by applying
a robust M-estimate. Outliers are not only looked for in the observations but also in the updated parameters. The ability
of the robust Kalman filter to detect outliers is demonstrated by an example.
Received: 8 November 1996 / Accepted: 11 February 1998 |
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| Keywords: | , Kalman filter,Robust estimation,Rank deficiency |
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