Kalman filtering with censored measurements

Kostas Loumponias and George Tsaklidis

Journal of Applied Statistics, 2022, vol. 49, issue 2, 317-335

Abstract: This paper concerns Kalman filtering when the measurements of the process are censored. The censored measurements are addressed by the Tobit model of Type I and are one-dimensional with two censoring limits, while the (hidden) state vectors are multidimensional. For this model, Bayesian estimates for the state vectors are provided through a recursive algorithm of Kalman filtering type. Experiments are presented to illustrate the effectiveness and applicability of the algorithm. The experiments show that the proposed method outperforms other filtering methodologies in minimizing the computational cost as well as the overall Root Mean Square Error (RMSE) for synthetic and real data sets.

Date: 2022
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DOI: 10.1080/02664763.2020.1810645

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