Kalman Filtering over Fading Channels: Zero-One Laws and Almost Sure Stabilities

In this paper, we investigate probabilistic stability of Kalman filtering over fading channels modeled by $\ast$-mixing random processes, where channel fading is allowed to generate non-stationary packet dropouts with temporal and/or spatial correlations. Upper/lower almost sure (a.s.) stabilities and absolutely upper/lower a.s. stabilities are defined for characterizing the sample-path behaviors of the Kalman filtering. We prove that both upper and lower a.s. stabilities follow a zero-one law, i.e., these stabilities must happen with a probability either zero or one, and when the filtering system is one-step observable, the absolutely upper and lower a.s. stabilities can also be interpreted using a zero-one law. We establish general stability conditions for (absolutely) upper and lower a.s. stabilities. In particular, with one-step observability, we show the equivalence between absolutely a.s. stabilities and a.s. ones, and necessary and sufficient conditions in terms of packet arrival rate are derived; for the so-called non-degenerate systems, we also manage to give a necessary and sufficient condition for upper a.s. stability

An Improved Tobit Kalman Filter with Adaptive Censoring Limits

This paper deals with the Tobit Kalman filtering (TKF) process when the measurements are correlated and censored. The case of interval censoring, i.e., the case of measurements which belong to some interval with given censoring limits, is considered. Two improvements of the standard TKF process are proposed, in order to estimate the hidden state vectors. Firstly, the exact covariance matrix of the censored measurements is calculated by taking into account the censoring limits. Secondly, the probability of a latent (normally distributed) measurement to belong in or out of the uncensored region is calculated by taking into account the Kalman residual. The designed algorithm is tested using both synthetic and real data sets. The real data set includes human skeleton joints' coordinates captured by the Microsoft Kinect II sensor. In order to cope with certain real-life situations that cause problems in human skeleton tracking, such as (self)-occlusions, closely interacting persons etc., adaptive censoring limits are used in the proposed TKF process. Experiments show that the proposed method outperforms other filtering processes in minimizing the overall Root Mean Square Error (RMSE) for synthetic and real data sets.Comment: 21 pages, 32 figure