Square root kalman filter with contaminated observations

Cipra, Tomas; Romera, Rosario; Rubio, A.

Square root kalman filter with contaminated observations

Autor(es): Cipra, Tomas; Romera, Rosario; Rubio, A.

Editor: Universidad Carlos III de Madrid. Departamento de Economía

Fecha de edición: 1992-03

ISSN: 2340-5031

Serie/Num.: Working Papers
92-09

Palabras clave: Square root Kalman filter , Robust , Parallel algorithm

URI: http://hdl.handle.net/10016/2821

Derechos: Atribución-NoComercial-SinDerivadas 3.0 España

Resumen:

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 [+]

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