A skewed Kalman filter
Naveau P, Genton M, Shen X. A skewed Kalman filter. Journal Of Multivariate Analysis 2005, 94: 382-400. DOI: 10.1016/j.jmva.2004.06.002.Peer-Reviewed Original ResearchState-space modelKalman filterKalman filtering operationSkew-normal distributionMultivariate normal distributionKalman filter operationAssumption of normalityMultivariate caseComputational advantagesNormal distributionFiltering operationFilter operationSkewnessFilterExtensionLarge varietyModelApplicabilityDistributionNormalityWide rangeAssumption