Algorithm 675: Fortran subroutines for computing the square root covariance filter and square root information filter in dense or Hessenberg forms
M. Vanbegin, Michel Verhaegen · ACM Transactions on Mathematical Software · 1989
In this paper, codes are provided for two of the most popular square root filters: the Square Root Covariance Filter and the Square Root Information Filter. We also give efficient implementations for the time invariant case based on so-called condensed forms. All routines make extensive use of BLAS routines.