An algorithm for propagating the square-root covariance matrix in triangular form

DOI10.1109/TAC.1976.1101134zbMATH Open0317.93063MaRDI QIDQ4079461FDOQ4079461

C. Y. Choe, B. D. Tapley

Publication date: 1976

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation and detection in stochastic control theory (93E10)

Cited In (2)

• Factorization methods for linear quadratic optimal control
• Square-root algorithms for parallel processing in optimal estimation

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