New computationally efficient formula for backward-pass fixed-interval smoother and its UD factorisation algorithm (with reply)

The commenter refers to the paper by K. Watanabe et al. (see paper 6541D, IEE Proc. D, vol.136, no.2, p.73-8 (1989)) dealing with a scheme for implementing a fixed interval smoother in UD form. The commenter proposes an alternative, computationally economic implementation for the calculation of the UD smoothed covariance. In reply, Watanabe et al. agree completely with the commenter´s proposal, but maintain the view that the UD smoother stated in their paper provides an improvement in computational speed and computer storage, compared with the Bierman´s (1983) UD smoother.