Square root kalman filter with contaminated observations

Tomas Cipra, Rosario Romera and A. Rubio

UC3M Working papers. Economics from Universidad Carlos III de Madrid. Departamento de Economía

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.

Keywords: Square; root; Kalman; filter; Robust; Parallel; algorithm (search for similar items in EconPapers)
Date: 1992-03
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:cte:werepe:2821

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