The code below implements a Gaussian sum filter (GSF) in R. The implemented GSF employs a bank of Gauss-Hermite Kalman filters (GHKF).

A GSF may be used when the process noise, measurement noise, or *a posteriori* state distribution is expected to follow some non-Gaussian distribution. The GSF approximates such non-Gaussian distributions with a mixture (or sum) of Gaussian distributions.

If necessary, the implemented Gaussian sum filter performs *pruning* as a Gaussian mixture reduction technique.

Continue reading R code for implementing a Gaussian sum filter