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A parallel Kalman filter via the square root Kalman filtering

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URI: https://hdl.handle.net/10016/3708
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ws931412.pdf (325.69 KB)
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1993-06
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Abstract
A parallel algorithm for Kalman filtering with contaminated observations is developed. Theı parallel implementation is based on the square root version of the Kalman filter (see [3]). Thisı represents a great improvement over serial implementations reducing drastically computationalı costs for each state update.
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Parallel robust Kalman filter, Square root Kalman
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DES - Working Papers. Statistics and Econometrics. WS