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Particle filtering with alpha-stable distributions

Research output: Contribution in Book/Report/ProceedingsPaper

Published

Publication date2005
Host publicationStatistical Signal Processing, 2005 IEEE/SP 13th Workshop on
Pages381 - 386
Number of pages5
Original languageEnglish

Conference

ConferenceIEEE Statistical Signal Processing Workshop
CityBordeaux, France
Period17/07/0520/07/05

Conference

ConferenceIEEE Statistical Signal Processing Workshop
CityBordeaux, France
Period17/07/0520/07/05

Abstract

In this paper we introduce a novel sequential Monte Carlo technique, which is based on the family of symmetric alpha- stable (SAS) distributions. Sequential Bayesian estimation generally involves recursive estimation of filtering and predictive distributions of unobserved signals from their noisy measurements. In our proposed algorithm, the relevant density functions are approximated by particles drawn from stable distributions. We call this novel technique SAS particle filtering (SASPF). We assess the performance of the SASPF in comparison with the Gaussian Sum particle filter (GSPF) [1] and a standard (non-parametric) particle filter (PF). Results obtained using highly nonlinear models with simulated data show that the SASPF outperforms the GSPF and compares very favorably with the PF.

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