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Coloured Tobit Kalman Filter

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Document pages: 11 pages

Abstract: This paper deals with the Tobit Kalman filtering (TKF) process when theone-dimensional measurements are censored and the noises of the state-spacemodel are coloured. Two improvements of the standard TKF process are proposed.Firstly, the exact moments of the censored measurements are calculated via themoment generating function of the censored measurements. Secondly, colourednoises are considered in the proposed method in order to tackle real-lifeproblems, where the white noises are not common. The designed process isevaluated using two experiments-simulations. The results show that the proposedmethod outperforms other methods in minimizing the Root Mean Square Error(RMSE) in both experiments.

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