Nonlinear Filtering of Non-Gaussian Noise

This paper introduces a new nonlinear filter for a discrete time, linear system which is observed in additive non-Gaussian measurement noise. The new filter is recursive, computationally efficient and has significantly improved performance over other linear and nonlinear schemes. The problem of narrowband interference suppression in additive noise is considered as an important example of non-Gaussian noise filtering. It is shown that the new filter outperforms currently used approaches and at the same time offers simplicity in the design.