A method for detecting outliers with a Kalman filter on impulsed noised outliers and prediction on cleaned data.
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 preprint: \url{https://arxiv.org/abs/2208.00961}.