A Multivariate Non-Gaussian Bayesian Filter Using Power Moments

In this paper, which is a very preliminary version, we extend our results on the univariate non-Gaussian Bayesian filter using power moments to the multivariate systems, which can be either linear or nonlinear. Doing this introduces several challenging problems, for example a positive parametrization of the density surrogate, which is not only a problem of filter design, but also one of the multiple dimensional Hamburger moment problem. We propose a parametrization of the density surrogate with the proofs to its existence, Positivstellensatze and uniqueness. Based on it, we analyze the error of moments of the density estimates through the filtering process with the proposed density surrogate. An error upper bound in the sense of total variation distance is also given. A discussion on continuous and discrete treatments to the non-Gaussian Bayesian filtering problem is proposed to explain why our proposed filter shall also be a mainstream of the non-Gaussian Bayesian filtering research and motivate the research on continuous parametrization of the system state. Last but not the least, simulation results on estimating different types of multivariate density functions are given to validate our proposed filter. To the best of our knowledge, the proposed filter is the first one implementing the multivariate Bayesian filter with the system state parameterized as a continuous function, which only requires the true states being Lebesgue integrable.