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Square root kalman filter with contaminated observations

Author

Listed:
  • Cipra, Tomas
  • Romera, Rosario
  • Rubio, A.

Abstract

The 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.

Suggested Citation

  • Cipra, Tomas & Romera, Rosario & Rubio, A., 1992. "Square root kalman filter with contaminated observations," UC3M Working papers. Economics 2821, Universidad Carlos III de Madrid. Departamento de Economía.
    • Handle: RePEc:cte:werepe:2821
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    Cited by:

    1. Romera, Rosario & Cipra, Tomas, 1993. "A parallel Kalman filter via the square root Kalman filtering," DES - Working Papers. Statistics and Econometrics. WS 3708, Universidad Carlos III de Madrid. Departamento de Estadística.

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    Keywords

    Square root Kalman filter;

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