Square root covariance ladder algorithms
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Publication:3955256
DOI10.1109/TAC.1982.1103018zbMath0492.93072OpenAlexW2026388893MaRDI QIDQ3955256
Boaz Porat, Benjamin Friedlander, Martin Morf
Publication date: 1982
Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1109/tac.1982.1103018
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Filtering in stochastic control theory (93E11) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)
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