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| we9209.pdf | -- 2008-08-20 -- Available on Internet -- preprint | 234,07 kB | Adobe PDF | |  |
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| Title: | Square root kalman filter with contaminated observations |
| Author(s): | Cipra, T.
Romera, Rosario [mrromera]
Rubio, A. |
| Publisher: | Universidad Carlos III de Madrid. Departamento de Economía |
| Issued date: | Mar-1992 |
| URI: | http://hdl.handle.net/10016/2821 |
| Abstract: | The algorithm of square root Kalman filtering for the case of contaminated observations is described in the paper. This algorithm is suitable for the parallel computer implementation allowing to treat dynamic linear systems with large number of state variables in a robust recursive way. |
| Serie / Nº.: | Working Papers
92-09 |
| Keywords: | Square root Kalman filter
Robust
Parallel algorithm |
| Appears in Collections: | Economists Online
DE - Working Papers. Economics. WE
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