@inproceedings{1818a7021b824016b77da3c8171855cc,
title = "Optimal recursive filtering using Gaussian mixture model",
abstract = "Kalman filter is an optimal recursive estimator of the system state in terms of minimum-mean-square error (MMSE) under linear Gaussian assumptions. The Gaussianity assumption is not satisfied in many applications, such as dynamic channel estimation in mobile communications, maneuvering target tracking and speech enhancement. In this paper, the MMSE estimator for linear, non-Gaussian problems is presented, where the Gaussian mixture model is used for non-Gaussian distributions. The resulting recursive algorithm, named as non-Gaussian Kalman filter (NGKF), is composed of several conventional Kalman filters combined in an optimal manner. The performance of the proposed NGKF, is compared to the Kalman and particle filters via simulations. It is shown that the proposed NGKF outperforms both the Kalman and particle filters.",
keywords = "Dynamic state space, GMM, Kalman filter, MMSE, Particle filter, Sequential bayesian estimation",
author = "Igal Bilik and Joseph Tabrikian",
year = "2005",
month = jan,
day = "1",
doi = "10.1109/ssp.2005.1628628",
language = "English",
isbn = "0780394046",
series = "IEEE Workshop on Statistical Signal Processing Proceedings",
publisher = "Institute of Electrical and Electronics Engineers",
pages = "399--404",
booktitle = "2005 IEEE/SP 13th Workshop on Statistical Signal Processing - Book of Abstracts",
address = "United States",
note = "2005 IEEE/SP 13th Workshop on Statistical Signal Processing ; Conference date: 17-07-2005 Through 20-07-2005",
}