Square-root algorithms for least-squares estimation
From MaRDI portal
Publication:4085594
DOI10.1109/TAC.1975.1100994zbMath0322.93036OpenAlexW2131483600MaRDI QIDQ4085594
Publication date: 1975
Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1109/tac.1975.1100994
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Discrete-time control/observation systems (93C55) Estimation and detection in stochastic control theory (93E10) Signal detection and filtering (aspects of stochastic processes) (60G35)
Related Items (36)
Semi- and Quasi-separable Systems ⋮ FILTERING AND SMOOTHING IN STATE SPACE MODELS WITH PARTIALLY DIFFUSE INITIAL CONDITIONS ⋮ Least squares modifications with inverse factorizations: Parallel implications ⋮ An implementation method for the discrete Kalman filter with applications to large-scale systems ⋮ A tensor network Kalman filter with an application in recursive MIMO Volterra system identification ⋮ Accuracy and efficiency of alternative spline smoothing algorithms ⋮ Parallel computation of the modified extended kalman filter ⋮ An implicit and explicit dual model predictive control formulation for a steel recycling process ⋮ Square-root RTS smoothing algorithms ⋮ On practical implementation of robust kalman filtering ⋮ Analytical uses of Kalman filtering in econometrics — A survey ⋮ On efficient parametric identification methods for linear discrete stochastic systems ⋮ Reduced-rank unscented Kalman filtering using Cholesky-based decomposition ⋮ A unified square-root approach for the score and Fisher information matrix computation in linear dynamic systems ⋮ Periodic solutions of Riccati equations applied to multirate sampling ⋮ Tracking the condition number for RLS in signal processing ⋮ Adaptive Lanczos methods for recursive condition estimation ⋮ On a Schur-algorithm based approach to spectral factorization: Connection with the Riccati equation ⋮ Fast algorithm of Chandrasekhar type for ARMA model identification ⋮ Square-root Kalman filtering of descriptor systems ⋮ Systems of seemingly unrelated regression equations with time varying coefficients -- an interplay of Kalman filtering, scoring, EM- and MINQUE-method ⋮ On the \(LU\) factorization of infinite systems of semi-separable equations ⋮ A general approach to constructing parameter identification algorithms in the class of square root filters with orthogonal and \(J\)-orthogonal tranformations ⋮ Singular Riccati equations stabilizing large-scale systems ⋮ STABLE ALGORITHMS FOR THE STATE SPACE MODEL ⋮ Acoustic full-waveform inversion and its uncertainty estimation based on a vector-version square-root variable metric method ⋮ Some alternatives in recursive estimation† ⋮ Square-root algorithms of RLS Wiener filter and fixed-point smoother in linear discrete stochastic systems ⋮ Square-root algorithms for parallel processing in optimal estimation ⋮ An improved algorithm to solve a discrete matrix Riccati equation ⋮ Maximum likelihood estimation of linear stochastic systems in the class of sequential square-root orthogonal filtering methods ⋮ Analytic derivatives for estimation of linear dynamic models ⋮ Inner-outer factorization and the inversion of locally finite systems of equations ⋮ Matrix factorization and Chandrasekhar equations techniques in the design of linear quadratic optimal control systems ⋮ The exact likelihood for a multivariate ARMA model ⋮ A parallel architecture for Kalman filter measurement update and parameter estimation
This page was built for publication: Square-root algorithms for least-squares estimation
