Measures of non-Gaussianity in unscented Kaiman filter framework
Ondřej Straka, Jindřich Duník, Miroslav Ŝimandl · International Conference on Information Fusion · 2014
The paper deals with state estimation of nonlinear stochastic dynamic systems. In particular, the stress is laid on the recursive computation of the higher order moments of the state estimate in a local filter. The higher order moments are then used as a cornerstone of non-Gaussianity measures having the ability to indicate a possible decrease of the estimate quality. A technique is proposed for a general algorithm of the local filters, detailed for the unscented Kalman filter, and illustrated in numerical examples.