Estimation of high-dimensional prior and posterior covariance matrices in Kalman filter variants

Journal of Multivariate Analysis - Tập 98 Số 2 - Trang 227-255 - 2007
Reinhard Furrer1, Thomas Bengtsson2
1Geophysical Statistics Project, National Center for Atmospheric Research,#R# Boulder, CO, USA,
2Bell Labs, Statistics and Data Mining Department, Murray Hill, NJ, USA#TAB#

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