V-invariant methods, generalised least squares problems, and the Kalman filter

Osborne, Michael; Soderkvist, Inge

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V-invariant methods, generalised least squares problems, and the Kalman filter

Date

2004

Authors

Osborne, Michael

Soderkvist, Inge

Publisher

Australian Mathematical Society

Abstract

An important consideration in solving generalised least squares problems is the dimension of the covariance matrix V. This has the dimension of the data set and is large when the data set is large. In addition the problem can be formulated to have a well

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http://hdl.handle.net/1885/80387

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ANU Research Publications

Source

ANZIAM Journal

Type

Journal article

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V-invariant methods, generalised least squares problems, and the Kalman filter

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