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- W2019929105 abstract "Abstract The square-root fixed-interval discrete-time smoother has been used extensively in discrete recursive estimation since it was first developed by Rauch, Tung and Streibel [10]. Various people, for example Bierman [2], [3], have recognized the inherent instability in employing this kind of smoother in its original form; they have investigated implementing the recursion more stably. Bierman's paper [3] is one such contribution. In this paper we plan to present a more comprehensive development of Bierman's approach, and to show that this algorithm can be implemented more stably as a square-root smoother. Throughout this paper the fixed-interval discrete-time smoother will be referred to as the RTS smoother. Numerical results are given for the usual form of the RTS smoother, Bierman's algorithm and our square-root formulation of his algorithm. These confirm that the square-root formulation is more desirable than Bierman's algorithm, which performs better than the usual implementation of the RTS smoother." @default.
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- W2019929105 date "1988-07-01" @default.
- W2019929105 modified "2023-09-23" @default.
- W2019929105 title "A square-root fixed-interval discrete-time smoother" @default.
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- W2019929105 doi "https://doi.org/10.1017/s0334270000006032" @default.
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