Nonlinear Filtering Method Using a Switching Error Model for Outlier-Contaminated Observations

This article considers a nonlinear filtering method for handling outliers. The presence of outliers that are gross observation errors can greatly reduce the accuracy of filtering methods that assume Gaussian distributed errors. There are some existing methods that assume a Gaussian observation error, and estimate the error covariance matrix at each time step to avoid overfitting to the outliers. However, the estimates of the covariance matrix under such methods can become unstable. This results in underfitting or overfitting to observations when filtering. This paper presents a new method for handling outliers in nonlinear filtering problems by extending the unscented Kalman filter. In this method, two Gaussian observation error models with distinct covariance matrices are used: one for observations with regular errors, and another with a larger variance specified by a scale parameter for outliers. In addition to the system state, this method estimates an indicator variable that switches between the two models and the scale parameter for outliers. With the inclusion of the indicator variable and scale parameter, the estimated error covariance matrix can handle both regular observations and outliers appropriately at each time step. Furthermore, by estimating the scale parameter, the proposed method can be applied to a dataset without additional tuning to account for outlier characteristics. Through numerical experiments, we find that our method can estimate the system state better than existing methods for both datasets with and without outliers.