Further mnemonics for the Kalman filter updating formulas |
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Authors: | R W Farebrother |
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Institution: | 1. Department of Econometrics and Social Statistics, University of Manchester, M13 9PL, Manchester, UK
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Abstract: | In this paper the author supplements his earlier work on the covariance matrix updating formulas of the Kalman filter by supplying mnemonics for the conditional mean updating formulas. |
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