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

Boujemaa Ait-El-Fquih; Cedric Gouy-Pailler

doi:10.1109/ICASSP.2013.6638716

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

Boujemaa Ait-El-Fquih, Cedric Gouy-Pailler

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

2 Scopus citations

Abstract

This 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.

Original language	English (US)
Title of host publication	2013 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2013 - Proceedings
Pages	5504-5508
Number of pages	5
DOIs	https://doi.org/10.1109/ICASSP.2013.6638716
State	Published - Oct 18 2013
Externally published	Yes
Event	2013 38th IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2013 - Vancouver, BC, Canada Duration: May 26 2013 → May 31 2013

Other

Other	2013 38th IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2013
Country/Territory	Canada
City	Vancouver, BC
Period	05/26/13 → 05/31/13

Keywords

Backward Markovian models
Kalman-like algorithms
Robust filtering
Robust smoothing
Variational Bayes

ASJC Scopus subject areas

Software
Signal Processing
Electrical and Electronic Engineering

Access to Document

10.1109/ICASSP.2013.6638716

Cite this

@inproceedings{7e812520958e44e980e97359c2fa9216,

title = "Backward hidden Markov chain for outlier-robust filtering and fixed-interval smoothing",

abstract = "This 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.",

keywords = "Backward Markovian models, Kalman-like algorithms, Robust filtering, Robust smoothing, Variational Bayes",

author = "Boujemaa Ait-El-Fquih and Cedric Gouy-Pailler",

year = "2013",

month = oct,

day = "18",

doi = "10.1109/ICASSP.2013.6638716",

language = "English (US)",

isbn = "9781479903566",

pages = "5504--5508",

booktitle = "2013 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2013 - Proceedings",

note = "2013 38th IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2013 ; Conference date: 26-05-2013 Through 31-05-2013",

}

Ait-El-Fquih, B & Gouy-Pailler, C 2013, Backward hidden Markov chain for outlier-robust filtering and fixed-interval smoothing. in 2013 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2013 - Proceedings., 6638716, pp. 5504-5508, 2013 38th IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2013, Vancouver, BC, Canada, 05/26/13. https://doi.org/10.1109/ICASSP.2013.6638716

Backward hidden Markov chain for outlier-robust filtering and fixed-interval smoothing. / Ait-El-Fquih, Boujemaa; Gouy-Pailler, Cedric.
2013 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2013 - Proceedings. 2013. p. 5504-5508 6638716.

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

TY - GEN

T1 - Backward hidden Markov chain for outlier-robust filtering and fixed-interval smoothing

AU - Ait-El-Fquih, Boujemaa

AU - Gouy-Pailler, Cedric

PY - 2013/10/18

Y1 - 2013/10/18

N2 - This 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.

AB - This 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.

KW - Backward Markovian models

KW - Kalman-like algorithms

KW - Robust filtering

KW - Robust smoothing

KW - Variational Bayes

UR - http://www.scopus.com/inward/record.url?scp=84890506216&partnerID=8YFLogxK

U2 - 10.1109/ICASSP.2013.6638716

DO - 10.1109/ICASSP.2013.6638716

M3 - Conference contribution

AN - SCOPUS:84890506216

SN - 9781479903566

SP - 5504

EP - 5508

BT - 2013 IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2013 - Proceedings

T2 - 2013 38th IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2013

Y2 - 26 May 2013 through 31 May 2013

ER -

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

Abstract

Other

Keywords

ASJC Scopus subject areas

Access to Document

Other files and links

Fingerprint

Cite this