Cauchy estimation for linear scalar systems

An estimation paradigm is presented for scalar discrete linear systems entailing additive process and measurement noises that have Cauchy probability density functions (pdf). For systems with Gaussian noises, the Kalman filter has been the main estimation paradigm. However, many practical system uncertainties that have impulsive character, such as radar glint, are better described by stable non-Gaussian densities, for example, the Cauchy pdf. Although the Cauchy pdf does not have a defined mean and does have an infinite second moment, the conditional density of a Cauchy random variable, given its linear measurements with an additive Cauchy noise, has a conditional mean and a finite conditional variance, both being functions of the measurement. For a single measurement, simple expressions are obtained for the conditional mean and variance, by deriving closed form expressions for the infinite integrals associated with the minimum variance estimation problem. To alleviate the complexity of the multi-stage estimator, the conditional pdf is represented in a special factored form. A recursion scheme is then developed based on this factored form and closed form integrations, allowing for the propagation of the conditional mean and variance over an arbitrary number of time stages. In simulations, the performance of a newly developed scalar discrete-time Cauchy estimator is significantly superior to a Kalman filter in the presence of Cauchy noise, whereas the Cauchy estimator deteriorates only slightly compared to the Kalman filter in the presence of Gaussian noise. Remarkably, this new recursive Cauchy conditional mean estimator has parameters that are generated by linear difference equations with stochastic coefficients, providing computational efficiency.