Cipra, TomasRomera, RosarioRubio, A.Universidad Carlos III de Madrid. Departamento de Economía2008-08-202008-08-201992-032340-5031https://hdl.handle.net/10016/2821The 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.application/pdfengAtribución-NoComercial-SinDerivadas 3.0 EspañaSquare root Kalman filterRobustParallel algorithmworking paperEconomíaopen access