Kalman Filter Sensitivity Evaluation With Orthogonal and J-Orthogonal Transformations

This technical note addresses the array square-root Kalman filtering/smoothing algorithms with the conventional orthogonal and J -orthogonal transformations. In the adaptive filtering context, J -orthogonal matrices arise in computation of the square-root of the covariance (or smoothed covariance) b...

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Bibliographic Details

Published in:	IEEE transactions on automatic control Vol. 58; no. 7; pp. 1798 - 1804
Main Authors:	Kulikova, M. V., Pacheco, A.
Format:	Journal Article
Language:	English
Published:	New York IEEE 01.07.2013 The Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subjects:	Array square-root algorithms Arrays Economic models Equations filter sensitivity equations J -orthogonal matrices Kalman filter Kalman filters Matrix decomposition Maximum likelihood estimation Sensitivity Sensitivity analysis Studies Symmetric matrices
ISSN:	0018-9286, 1558-2523
Online Access:	Get full text
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