The equivalence between the Cholesky decomposition and the Kalman filter

American Statistician

Volumn 56, Issue 1, 2002, Pages 39-43

  Eubank, R L ^a   Wang, Suojin ^a  

^a TEXAS A AND M UNIVERSITY   (United States)

Author keywords

Backward recursion; Forward recursion; Order n algorithm; Smoothing

Indexed keywords

EID: 0036003720     PISSN: 00031305     EISSN: None     Source Type: Journal    
DOI: 10.1198/000313002753631349     Document Type: Article

References (6)

1. A new approach to linear filtering and prediction problems
2. New results in linear filtering and prediction theory
3. A fast algorithm for signal extraction, influence and cross-validation in state-space models
4. Understanding the Kalman filter