Square root kalman filter with contaminated observations

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

Square root kalman filter with contaminated observations

Author(s): Cipra, Tomas; Romera, Rosario; Rubio, A.

Editor: Universidad Carlos III de Madrid. Departamento de Economía

Issued date: 1992-03

ISSN: 2340-5031

Serie/No.: Working Papers
92-09

Keywords: Square root Kalman filter , Robust , Parallel algorithm

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

Rights: Atribución-NoComercial-SinDerivadas 3.0 España

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 [+]

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