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The American Statistician Volume 56, 2002 - Issue 1
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Primary Article

The Equivalence Between the Cholesky Decomposition and the Kalman Filter

R. L Eubank R. L. Eubank is Professor, and Suojin Wang is Professor, Department of Statistics, Texas A&M University, College Station, TX 77843 . Eubank's research was supported in part by the National Science Foundation. Wang's research was supported in part by the Texas Advanced Research Program, the National Cancer Institute (CA57030) and the TAMU Center for Environmental and Rural Health.
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Suojin Wang R. L. Eubank is Professor, and Suojin Wang is Professor, Department of Statistics, Texas A&M University, College Station, TX 77843 . Eubank's research was supported in part by the National Science Foundation. Wang's research was supported in part by the Texas Advanced Research Program, the National Cancer Institute (CA57030) and the TAMU Center for Environmental and Rural Health.
Pages 39-43 | Published online: 01 Jan 2012

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Aramayis Dallakyan & Mohsen Pourahmadi. (2023) Fused-Lasso Regularized Cholesky Factors of Large Nonstationary Covariance Matrices of Replicated Time Series. Journal of Computational and Graphical Statistics 32:1, pages 157-170.
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R. L Eubank, Chunfeng Huang & Suojin Wang. (2003) Adaptive Order Selection for Spline Smoothing. Journal of Computational and Graphical Statistics 12:2, pages 382-397.
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Zhenhua Lin. (2019) Riemannian Geometry of Symmetric Positive Definite Matrices via Cholesky Decomposition. SIAM Journal on Matrix Analysis and Applications 40:4, pages 1353-1370.
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Brian Dennis, José Miguel Ponciano, Subhash R. Lele, Mark L. Taper & David F. Staples. (2006) ESTIMATING DENSITY DEPENDENCE, PROCESS NOISE, AND OBSERVATION ERROR. Ecological Monographs 76:3, pages 323-341.
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