Score-matching Bayesian filtering beyond the Kalman filter

SKF uses moment representations and score matching to handle nonlinear non-Gaussian filtering while exactly recovering Kalman-filter information in the linear-Gaussian case

A tour de force by my student Kaito Iwasaki and collaborators for nonlinear non-Gaussian Bayesian filtering, SKF. Moment representation + score matching -> solving linear systems. It exactly recovers information from KF for linear-Gaussian