Digitale Medien
Springer
Computational economics
1 (1988), S. 41-51
ISSN:
1572-9974
Schlagwort(e):
Kalman filter
;
smoothing
;
square root
Quelle:
Springer Online Journal Archives 1860-2000
Thema:
Informatik
,
Wirtschaftswissenschaften
Notizen:
Abstract This paper describes a sequential square root method which is aimed at solving the numerical problems affecting the conventional Kalman filter. Simple square root algorithms are derived for the Kalman covariance and information filters and for the smoothing equations. A comparison with other square root methods is also provided.
Materialart:
Digitale Medien
URL:
http://dx.doi.org/10.1007/BF00435202
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