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Mnemonics for the Kalman filter covariance updating formulas

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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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References

  • Farebrother, R W (1988),Linear Least Squares Computations, Marcel Dekker, Inc., New York.

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  • Schneider, W (1988), “Analytical uses of Kalman filtering in econometrics”,Statistische Hefte, 29, 3–33.

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  1. Department of Econometrics and Social Statistics, University of Manchester, M13 9PL, Manchester, UK

    R. W. Farebrother

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  1. R. W. Farebrother
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Farebrother, R.W. Mnemonics for the Kalman filter covariance updating formulas. Statistical Papers 31, 281–284 (1990). https://doi.org/10.1007/BF02924700

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  • DOI: https://doi.org/10.1007/BF02924700

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