A parallel Kalman filter via the square root Kalman filtering
Rosario Romera, Tomáš Cipra · RePEc: Research Papers in Economics · 1993
A parallel algorithm for Kalman filtering with contaminated observations is developed. Theı parallel implementation is based on the square root version of the Kalman filter (see [3]). Thisı represents a great improvement over serial implementations reducing drastically computationalı costs for each state update.