The equivalence between the Cholesky decomposition and the Kalman filter

Eubank, R. L., Wang, Suojin . The American Statistician 2002. 56 (1) :39-43

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Bibtex

@article{CIS-177248,
  Author = {Eubank, R. L. and Wang, Suojin},
  Title = {The equivalence between the Cholesky decomposition and the Kalman filter},
  Journal = {The American Statistician},
  Volume = {56},
  Number = {1},
  Year = {2002},
  Pages = {39--43},
  Keywords = {Smoothing, BACKWARD RECURSION, FORWARD RECURSION, ORDER N ALGORITHM}
}

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