Fig. 1
From: A Bayesian robust Kalman smoothing framework for state-space models with uncertain noise statistics
Illustrative view of the proposed OBKS framework. This figure presents the general framework of the proposed optimal Bayesian Kalman smoothing framework. The posterior effective noise statistics are obtained by integrating the data in the observations window into the prior distribution π(θ), which are used to run the OBKF in the forward direction. Then, the Bayesian smoothed estimates are obtained in the backward direction as the outputs of the OBKS