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We derive a novel, provably robust, and closed-form Bayesian update rule for online filtering in state-space models in the presence of outliers and misspecified measurement models.
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Kalman, R. E · 1960
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Masreliez, C · 1975
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Huber, P. J · 1981
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Evensen, G · 1994
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Schick, I. C. and Mitter, S. K · 1994
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Anderson, J. L · 1999
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Predictability – a problem partly solved , pp. 40–58
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Ting, J.-A., Theodorou, E., and Schaal, S · 2007
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Evensen, G · 2009
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Hampel, F. R., Ronchetti, E. M., Rousseeuw, P. J., and Stahel, W. A · 2011
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Approximate inference in state-space models with heavy-tailed noise
Agamennoni, G., Nieto, J. I., and Nebot, E. M · 2012
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The safe Bayesian
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Horn, R. A. and Johnson, C. R · 2012
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Recursive outlier-robust filtering and smoothing for nonlinear systems using the multivariate student-t distribution
Piché, R., Särkkä, S., and Hartikainen, J · 2012
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Roh, S., Genton, M. G., Jun, M., Szunyogh, I., and Hoteit, I · 2013
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Karlgaard, C. D · 2015
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Mu, H.-Q. and Yuen, K.-V · 2015
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Chen, W. Y., Barp, A., Briol, F.-X., Gorham, J., Girolami, M., Mackey, L., and Oates, C · 2019
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Alquier, P. and Ridgway, J · 2020
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Boustati, A., Akyildiz, O. D., Damoulas, T., and Johansen, A · 2020
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Liu, G · 2020
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Martingale posterior distributions
Fong, E., Holmes, C., and Walker, S. G · 2021
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The recursive variational Gaussian approximation (R-VGA)
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Robust inference for state-space models with skewed measurement noise
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A general framework for updating belief distributions
Bissiri, P. G., Holmes, C. C., and Walker, S. G · 2016
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Huang, Y., Zhang, Y., Li, N., and Chambers, J · 2016
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Holmes, C. C. and Walker, S. G · 2017
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Bencomo, G. M., Snell, J. C., and Griffiths, T. L · 2023
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Probabilistic Machine Learning: Advanced Topics
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Bayesian Filtering and Smoothing (2nd edition)
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Deep attentive survival analysis in limit order books: Estimating fill probabilities with convolutional-transformers
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