Nonlinear Kalman Filtering for Censored Observations

Abstract: The use of Kalman filtering, as well as its nonlinear extensions, for the estimation of system variables and parameters has played a pivotal role in many fields of scientific inquiry where observations of the system are restricted to a subset of variables. However in the case of censored observations, where measurements of the system beyond a certain detection point are impossible, the estimation problem is complicated. Without appropriate consideration, censored observations can lead to inaccurate estimates. Motivated by the work of [1], we develop a modified version of the extended Kalman filter to handle the case of censored observations in nonlinear systems. We validate this methodology in a simple oscillator system first, showing its ability to accurately reconstruct state variables and track system parameters when observations are censored. Finally, we utilize the nonlinear censored filter to analyze censored datasets from patients with hepatitis C and human immunodeficiency virus.