Updating the Kalman Filter in Terms of Correlation Coefficients and Stand ard Deviations
Brice D. Cantrell, Gerard V. Trunk · 1978
A factorization method of updating the Kalman filter is examined. The covariances are factored in terms of correlation coefficients and standard deviations. The covariances of the Kalman filter are then updated in terms of the factors. The technique is similar in principle to Carlson's UDU method but differs in the covariance factorization. (Author)