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A square root filter for real time multivariate regression. (English) Zbl 0314.62028

MSC:
62J05 Linear regression; mixed models
60H99 Stochastic analysis
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
93E10 Estimation and detection in stochastic control theory
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References:
[1] Anderson T. W.: An Introduction to Multivariate Statistical Analysis. John Wiley, N. Y. 1958. · Zbl 0083.14601
[2] Durbin J.: Estimation of Parameters in Time-series Regression Models. J. Royal Stat. Soc. Series B 22 (1960), 1, 134-153. · Zbl 0100.14601
[3] Åström K. J., Wittenmark B.: Problems of Identification and Control. Journal of Mathematical Analysis and Applications, 34 (1971), 90-113. · Zbl 0217.57903
[4] Jazwinski A. H.: Stochastic Processes and Filtering Theory. Academic Press, New York-London 1970. · Zbl 0203.50101
[5] Lee R. C. K.: Optimal Estimation, Identification, and Control. MIT Press, 1964. · Zbl 0137.35703
[6] Åström K. J.: Lectures on the Identification Problem - The Least Square Method. Report 6806, Lund Institute of Technology, Sweden, 1968.
[7] Sage A. P., Melsa J. L.: Estimation Theory with Applications to Communications and Control. McGraw-Hill, N. Y. 1971. · Zbl 0255.62005
[8] Householder A. S.: The Theory of Matrices in Numerical Analysis. Blaisdell Publ. Comp., 1964. · Zbl 0161.12101
[9] Kaminski P. G., Bryson A. E., Schmidt S. F.: Discrete Square Root Filtering: A Survey of Current Techniques. IEEE Trans. AC-16 (December 1971), 6, 727-735.
[10] Faddeev D. K., Faddeeva V. N.: Numerical Methods of Linear Algebra. (in Russian). Fizmatgiz, Moscow 1963. · Zbl 0094.11005
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