Fixed memory least squares filtering
GERALD J. BIERMAN · IEEE Transactions on Information Theory · 1975
Buxbaum has reported on three algorithms for computing least squares estimates that are based on fixed amounts of data. In this correspondence, the filter is arranged as a point-deleting Kalman filter concatenated with the standard point-inclusion Kalman filter. The resulting algorithm is couched in a square root framework for greater numerical stability, and special attention is given to computer implementation.