Order-recursive factorization of the pseudoinverse of a covariance matrix

DOI10.1109/9.61005zbMATH Open0723.93086OpenAlexW2166069510MaRDI QIDQ5202139FDOQ5202139

Authors: Wallace E. Larimore 

Publication date: 1990

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

Full work available at URL: https://doi.org/10.1109/9.61005

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zbMATH Keywords

covariance matrixComputational algorithmsorder-recursive methodsquare root factor

Mathematics Subject Classification ID

Numerical solutions to overdetermined systems, pseudoinverses (65F20) Estimation and detection in stochastic control theory (93E10)

Cited In (3)

• Recursive computation for block-nested covariance matrices
• Title not available (Why is that?)
• Numerically Stable Implementations of the Structured Covariance Expectation-Maximization Algorithm

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