Title :
A note on diagonal innovation matrices
Author :
Gohberg, I. ; Kailath, T. ; Koltracht, I.
Author_Institution :
Tel-Aviv University, Tel-Aviv, Israel
fDate :
7/1/1987 12:00:00 AM
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;
Journal_Title :
Acoustics, Speech and Signal Processing, IEEE Transactions on
DOI :
10.1109/TASSP.1987.1165234
