Loading [a11y]/accessibility-menu.js
The Tobit Kalman Filter: An Estimator for Censored Measurements | IEEE Journals & Magazine | IEEE Xplore

The Tobit Kalman Filter: An Estimator for Censored Measurements


Abstract:

Tobit model censored data arise in multiple engineering applications through saturating sensors, limit-of-detection effects, and image frame effects. In this brief, we in...Show More

Abstract:

Tobit model censored data arise in multiple engineering applications through saturating sensors, limit-of-detection effects, and image frame effects. In this brief, we introduce a novel formulation of the Kalman filter for Tobit Type 1 censored measurements. Our proposed formulation, called the Tobit Kalman filter, is identical to the standard Kalman filter in the no-censoring case. At or near the censored region, the Tobit Kalman filter utilizes a local approximation of the probability of censoring in order to provide a fully recursive estimate of the state and state error covariance. The additional computational burden of the method compared with the standard Kalman filter is limited to the calculation of m normal probability density functions and m normal cumulative density functions per update, where m is the number of measurements.
Published in: IEEE Transactions on Control Systems Technology ( Volume: 24, Issue: 1, January 2016)
Page(s): 365 - 371
Date of Publication: 01 June 2015

ISSN Information:

Funding Agency:


Contact IEEE to Subscribe

References

References is not available for this document.