The majority of Bayesian methods
for the state estimation are based
on the assumption that the measurements are corrupted only with random
errors. In practice, however, the measurements are often corrupted
with gross errors or biases, which leads to biased state estimates
when the conventional Bayesian estimators are used. This, in turn,
deteriorates the performance of model based process monitoring or
control schemes that rely on the state estimator. In this work, to
minimize the effects of gross errors on state estimates, two robust
versions of the receding-horizon nonlinear Kalman filter (RNK) are
developed by integrating M-estimators with the conventional RNK. In
the first approach, referred to as Explicit M-RNK, the update step
is recast as an optimization problem and further modified by explicitly
including an M-estimator. Using the Taylor series approximation, a
recursive update step is derived analytically and further used to
arrive at a recursive rule for the associated covariance update. The
second approach, referred to as the Implicit M-RNK, uses the gradient
of the influence function of the chosen M-estimator for adaptive modification
of the measurement model used in the update step. This approach facilities
the use of the update step in conventional RNK without requiring explicit
use of the M-estimator. The proposed robust RNK state estimation formulation
is further used to develop a robust state and parameter estimation
scheme. The efficacies of the proposed estimation schemes have been
demonstrated by conducting simulation studies on some benchmark systems
and experimental data sets. The simulation studies reveal that the
proposed robust RNK estimators can estimate states and drifting parameter(s)
accurately even with the gross errors in the measurements.