Abstract

Using the array form of numerically stable square-root implementation methods for Kalman filtering formulas, we construct a new square-root algorithm for the log-likelihood gradient (score) evaluation. This avoids the use of the conventional Kalman filter with its inherent numerical instabilities and improves the robustness of computations against roundoff errors. The new algorithm is developed in terms of covariance quantities and based on the ldquocondensed formrdquo of the array square-root filter.

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call

Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.