INITIALIZATION OF THE KALMAN FILTER WITH PARTIALLY DIFFUSE INITIAL CONDITIONS

DOI10.1111/j.1467-9892.1996.tb00285.xzbMath0858.62087OpenAlexW2018007418MaRDI QIDQ4715710

Grant R. Saligari, Ralph D. Snyder

Publication date: 18 November 1996

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1996.tb00285.x

zbMATH Keywords

Kalman filterefficient algorithminitializationvariancessquare root covariance filterstate vectorfast Givens transformationsmatrix factorization procedure

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

Related Items

Diffuse Kalman filtering with linear constraints on the state parameters, Extensions to the invariance property of maximum likelihood estimation for affine‐transformed state‐space models, Diffuse Restricted Kalman Filtering

Cites Work

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