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We present a Bayesian filter for state space models with Laplace-distributed observation noise that is robust to heavy-tailed and outlier-ridden univariate time-series data. We analytically derive a closed-form expression of the exact posterior for a Lapl
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Laplace State Space Filter With Exact Inference And Moment Matching
We present a Bayesian filter for state space models with Laplace-distributed observation noise that is robust to heavy-tailed and outlier-ridden univariate time-series data. We analytically derive a closed-form expression of the exact posterior for a Lapl