Robust Kalman filtering for nonlinear multivariable stochastic systems in the presence of non-Gaussian noise

The presence of outliers can considerably degrade the performance of linear recursive algorithms based on the assumptions that measurements have a Gaussian distribution. Namely, in measurements there are rare, inconsistent observations with the largest part of population of observations (outliers). Therefore, synthesis of robust algorithms is of primary interest. The Masreliez-Martin filter is used as a natural frame for realization of the state estimation algorithm of linear systems. Improvement of performances and practical values of the Masreliez-Martin filter as well as the tendency to expand its application to nonlinear systems represent motives to design the modified extended Masreliez-Martin filter. The behaviour of the new approach to nonlinear filtering, in the case when measurements have non-Gaussian distributions, is illustrated by intensive simulations. Copyright (C) 2015 John Wiley & Sons, Ltd.