Factorization Methods for Discrete Sequential Estimation

This estimation reference text thoroughly describes matrix factorization methods successfully employed by numerical analysts, familiarizing readers with the techniques that lead to efficient, economical, reliable, and flexible estimation algorithms.
Topics include a review of least squares data processing and the Kalman filter algorithm; positive definite matrices, the Cholesky decomposition, and some of their applications; Householder orthogonal transformations; sequential square root data ...