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4. Laplace State Space Filter With Exact Inference And Moment Matching

Laplace State Space Filter With Exact Inference And Moment Matching

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IEEE ICASSP 2020 Virtual Conference May 2020

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

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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