Initialization of the Kalman filter with partially diffuse initial conditions

Journal of Time Series Analysis

Volumn 17, Issue 4, 1996, Pages 409-424

  Snyder, Ralph D ^a   Saligari, Grant R ^a  

^a MONASH UNIVERSITY   (Australia)

Author keywords

Fast Givens transformations; Initialization; Kalman filter

Indexed keywords

EID: 0010937551     PISSN: 01439782     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1467-9892.1996.tb00285.x     Document Type: Article

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