• DocumentCode
    1112602
  • Title

    A note on diagonal innovation matrices

  • Author

    Gohberg, I. ; Kailath, T. ; Koltracht, I.

  • Author_Institution
    Tel-Aviv University, Tel-Aviv, Israel
  • Volume
    35
  • Issue
    7
  • fYear
    1987
  • fDate
    7/1/1987 12:00:00 AM
  • Firstpage
    1068
  • Lastpage
    1069
  • Abstract
    By noting that a recently introduced class of so-called "diagonal innovation matrices" has a form previously encountered in state-space estimation problems, new linear complexity algorithms are presented for their factorization and inversion.
  • Keywords
    Covariance matrix; Filtering; Kalman filters; Matrix decomposition; Riccati equations; Signal processing algorithms; State estimation; Statistics; Symmetric matrices; Technological innovation;
  • fLanguage
    English
  • Journal_Title
    Acoustics, Speech and Signal Processing, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    0096-3518
  • Type

    jour

  • DOI
    10.1109/TASSP.1987.1165234
  • Filename
    1165234
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=1112602