Publication:
Square root kalman filter with contaminated observations

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URI: http://hdl.handle.net/10016/2821
ISSN: 2340-5031
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we9209.pdf (234.07 KB)
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1992-03
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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.
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Square root Kalman filter, Robust, Parallel algorithm
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DE - Working Papers. Economics. WE
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