State estimation under non-Gaussian Lévy noise: A modified Kalman filtering method
Xu Sun, Jinqiao Duan, Xiaofan Li, Xiangjun Wang · Banach Center Publications · 2015
The Kalman filter is extensively used for state estimation for linear systems under Gaussian noise. When non-Gaussian Lévy noise is present, the conventional Kalman filter may fail to be effective due to the fact that the non-Gaussian Lévy noise may have