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  • 1
    Electronic Resource
    Electronic Resource
    Square root kalman algorithms in econometrics (1988)
    Springer
    Computational economics 1 (1988), S. 41-51 
    Details
    ISSN: 1572-9974
    Keywords: Kalman filter ; smoothing ; square root
    Source: Springer Online Journal Archives 1860-2000
    Topics: Computer Science , Economics
    Notes: 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.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF00435202
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