Bayesian filters

Standard Kalman filters:

• Kalman filter ("Bayesian Filtering & Smoothing (Simon Särkkä)")
• Extended Kalman filter ("Bayesian Filtering & Smoothing (Simon Särkkä)")
• Unscented Kalman filter ("Bayesian Filtering & Smoothing (Simon Särkkä)")
• Student's t filter (Roth, Özkan & Gustafsson (2013). A student's t filter for heavy-tailed process and measurement noise. ICASSP)

Variational Bayesian filters:

• Robust Student's t filter (Huang et al. (2017). A novel robust student's t-based Kalman filter. IEEE TAES.)
• AX filter (Lutinnen (2013). Fast variational Bayesian linear state-space model. LNCS)

Particle filters:

• Particle filter ("Bayesian Filtering & Smoothing (Simon Särkkä)")
• Bootstrap particle filter ("Bayesian Filtering & Smoothing (Simon Särkkä)")
• Rao-Blackwellized particle filter ("Bayesian Filtering & Smoothing (Simon Särkkä)")

Questions

Questions and comments can be submitted to the issues tracker, but please note that it may take a long while before I have time to respond.