Electronic Resource
Springer
Computational economics
1 (1988), S. 41-51
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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