A parallel Kalman filter via the square root Kalman filtering

Rosario Romera and Tomas Cipra

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: A parallel algorithm for Kalman filtering with contaminated observations is developed. Theı parallel implementation is based on the square root version of the Kalman filter (see [3]). Thisı represents a great improvement over serial implementations reducing drastically computationalı costs for each state update.

Keywords: Parallel; robust; Kalman; filter; Square; root; Kalman (search for similar items in EconPapers)
Date: 1993-06
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