State space maximum correntropy filter

The state space recursive least squares (SSRLS) filter is a new addition to the well-known recursive least squares (RLS) family filters, which can achieve an excellent tracking performance by overcoming some limitations of the standard RLS algorithm. However, when the underlying system is disturbed by some heavy-tailed non-Gaussian impulsive noises, the performance of SSRLS will deteriorate significantly. The main reason for this is that the SSRLS is derived under the minimum mean square error (MMSE) criterion, which is not well-suited to estimation problems under non-Gaussian noises. To overcome this issue, we propose in this paper a novel linear filter, called the state space maximum correntropy (SSMC) filter, which is derived under the maximum correntropy criterion (MCC) instead of the MMSE. Since MCC is very suited to non-Gaussian signal processing, the SSMC performs very well in non-Gaussian noises especially when the signals are corrupted by impulsive noises. A simple illustrative example is presented to demonstrate the desirable performance of the new algorithm.