Kalman Filter (Filtering Problem (Stochastic Processes) Filtering Problem (Stochastic Processes))

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Time Complexity

$O(n^{3})$

Space Complexity

$O(n^{2})$? words

(Generally works with a constant number of O(n)*O(n)-sized matrices per iteration)

Description

Approximate?

Exact

Randomized?

No, deterministic

Model of Computation

Word/Real RAM

Year

1960

Reference

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