Self-assessment of local filters by non-Gaussianity measures

The paper deals with state estimation of stochastic nonlinear systems by means of local filters. A new technique is designed to provide a self-assessment of the filter with respect to its estimate quality. It uses a non-Gaussianity measure based on conditional third moment of the state to indicate a possible decrease of estimate quality. The technique is proposed for general local filters with detailed specification for three selected filters in the Kalman filtering framework. An application of the technique is illustrated in a numerical example.