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Mnemonics for the Kalman filter covariance updating formulas |
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| Authors: | R. W. Farebrother |
| Affiliation: | 1. Department of Econometrics and Social Statistics, University of Manchester, M13 9PL, Manchester, UK |
| Abstract: | In this paper we note that the numerous formulas for updating the Kalman fiter covariance matrices given by Schneider (1988) may be summarised by two partitioned inversion formulas. |
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