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A parallel Kalman filter via the square root Kalman filtering

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  • Romera, Rosario
  • Cipra, Tomas

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.

Suggested Citation

  • 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.
    • Handle: RePEc:cte:wsrepe:3708
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    File URL: https://e-archivo.uc3m.es/bitstream/handle/10016/3708/ws931412.pdf?sequence=1
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    References listed on IDEAS

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    1. 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.
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    Cited by:

    1. Rosario Romera, 1997. "On the optimal control of stochastic linear systems with contaminated partial observations," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 5(1), pages 143-157, June.

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      Keywords

      Parallel robust Kalman filter;

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