Example code for robust particle filters using multiple importance sampling.
Run the matlab script filterComparision.m for an example of sate inference in a 1D linear model with student-t distributed process and observational noise.
All the references to equations within this code are with respect to the paper,
Joel Kronander, Thomas Schön, Robust Auxillary Particle Filters using Multiple Importance Sampling. IEEE Statistical Signal Processing Workshop, Jul. 2014.
If you use this code for academic work, please reference the above paper.
Written by: Joel kronander (joel.kronander@liu.se) Division of Media and Informtation Technology Linköping University Last revised on June 30, 2014