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

Physical Sciences and Engineering

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
Event	2013 38th IEEE International Conference on Acoustics, Speech, and Signal Processing, ICASSP 2013 - Vancouver, BC, Canada Duration: May 26 2013 → May 31 2013

Publication series

Name	ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings
ISSN (Print)	1520-6149

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

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 (pp. 5504-5508). Article 6638716 (ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings). https://doi.org/10.1109/ICASSP.2013.6638716

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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",

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doi = "10.1109/ICASSP.2013.6638716",

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

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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, ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings, 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 (ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings).

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

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Ait-El-Fquih B, Gouy-Pailler C. 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. 2013. p. 5504-5508. 6638716. (ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings). doi: 10.1109/ICASSP.2013.6638716

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

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