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Does standard Kalman filter work if errors are not normally distributed?
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Kenneth T. Onyee
science forum beginner


Joined: 19 Jun 2005
Posts: 28

PostPosted: Sat Jul 08, 2006 10:39 am    Post subject: Does standard Kalman filter work if errors are not normally distributed? Reply with quote
If the errors in the signals are mean-zero but not necessarily normally
distributed, does the standard Kalman filter still apply?
In other words, do the mathematical foundations underpinning the Kalman
filter require normality?
(I am seeking a mathematically "correct" answer, not a practical
answer.)

-Onyee
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