General two-stage Kalman filters
Chien‐Shu Hsieh, Fu-Chuang Chen · IEEE Transactions on Automatic Control · 2000
A general two-stage Kalman filter that is equivalent to, but numerically more efficient than, the standard single-stage Kalman filter is developed for general, time-varying, linear discrete-time systems. Analytical results defining the reduction in computational burdens are presented. Simulation results that validate the predicted efficiency improvements are shown as well.