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

Osborne, MichaelSoderkvist, Inge2015-12-132015-12-131446-8735http://hdl.handle.net/1885/80387An 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 wellV-invariant methods, generalised least squares problems, and the Kalman filter20042015-12-11