A minimax game with a sigma-point-approximated ambiguity set yields robust nonlinear Kalman filters that outperform standard and robust competitors under model mismatch in the tested scenarios.
Discrete-time nonlinear filtering algorithms using Gauss–Hermite quadrature,
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A robust approach to sigma point Kalman filtering
A minimax game with a sigma-point-approximated ambiguity set yields robust nonlinear Kalman filters that outperform standard and robust competitors under model mismatch in the tested scenarios.