kfino: Kalman Filter for Impulse Noised Outliers - Mathématiques, Informatique et Statistique pour l'Environnement et l'Agronomie
Logiciel Année : 2024

kfino: Kalman Filter for Impulse Noised Outliers

Résumé

A method for detecting outliers with a Kalman filter on impulsed noised outliers and prediction on cleaned data. 'kfino' is a robust sequential algorithm allowing to filter data with a large number of outliers. This algorithm is based on simple latent linear Gaussian processes as in the Kalman Filter method and is devoted to detect impulse-noised outliers. These are data points that differ significantly from other observations. 'ML' (Maximization Likelihood) and 'EM' (Expectation-Maximization algorithm) algorithms were implemented in 'kfino'. The method is described in full details in the following arXiv e-Print:
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