Backward hidden Markov chain for outlier-robust filtering and fixed-interval smoothing

Conference of 2013 38th IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2013 ; Conference Date: 26 May 2013 Through 31 May 2013; Conference Code:101421International audienceThis paper addresses the problem of recursive estimation of a process in presence of outliers among the observations. It focuses on deriving robust approximate Kalman-like backward filtering and backward-forward fixed-interval smoothing algorithms in the context of linear hidden Markov chain with heavy-tailed measurement noise. The proposed algorithms are derived based on the backward Markovianity of the model as well as the variational Bayesian approach. In a simulation design, our algorithms are shown to outperform the classical Kalman filter in the presence of outliers