
The Dyer-McReynolds square-root information filter (SRIF) is rederived, using recursive least-square arguments. The result is applied to a system composed partly of biases. The filter sensitivity matrix, computed covariance, and consider covariance for this augmented system are reviewed. A new computationally attractive representation for the smoothed estimates, in terms of a smoothed sensitivity matrix and a smoothed computed covariance is presented.
Estimation and detection in stochastic control theory
Estimation and detection in stochastic control theory
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