On scalarized calculation of the likelihood function in array square-root filtering algorithms

DOI10.1134/S0005117909050129zbMath1180.93096MaRDI QIDQ1049623

M. V. Kulikova

Publication date: 13 January 2010

Published in: Automation and Remote Control (Search for Journal in Brave)

zbMATH Keywords

computational complexityKalman filteringscalarized calculation of the logarithmic likelihood function

Mathematics Subject Classification ID

Stochastic systems in control theory (general) (93E03) Complexity and performance of numerical algorithms (65Y20)

Related Items (1)

Maximum likelihood estimation of linear stochastic systems in the class of sequential square-root orthogonal filtering methods

Cites Work

• Repeated surveys and the Kalman filter
• Modified extended Kalman filtering and a real-time parallel algorithm for system parameter identification
• On Effective Computation of the Logarithm of the Likelihood Ratio Function for Gaussian Signals
• Numerical aspects of different Kalman filter implementations
• Computational aspects of maximum likelihood estimation and reduction in sensitivity function calculations
• New square-root algorithms for Kalman filtering
• Evaluation of likelihood functions for Gaussian signals

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