Abstract

The standard Kalman filter is a powerful and widely used tool to perform prediction, filtering and smoothing in the fields of linear Gaussian state-space models. In its standard setting it has a simple recursive form which implies high computational efficiency. As the latter is essentially a least squares procedure optimality properties can be derived easily. These characteristics of the standard Kalman filter depend strongly on distributional and linearity assumptions of the model. If we consider nonlinear non-Gaussian state-space models all these properties and characteristics are no longer valid. Consequently there are different approaches on the robustification of the Kalman filter. One is based on the the ideas of minimax problems and influence curves. Others use numerical integration and Monte Carlo methods. Herein we propose a new filter by implementing a method of numerical integration, called scrambled net quadrature, which consists of a mixture of Monte Carlo methods and quasi-Monte Carlo methods, providing an integration error of order of magnitude $N^{-3/2}\log(N)^{(r-1)/2}$ in probability, where $r$ denotes dimension. We show that the point-wise bias of the posterior density estimate is of order of magnitude $N^{-3}\log(N)^{r-1}$ but grows linearly with time.

Details

Actions