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GAMS Classification for the NAG Library
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L10a2e : State-space analysis (e.g., Kalman filtering)

G13EAF    Combined measurement and time update, one iteration of Kalman filter, time-varying, square root covariance filter
G13EBF    Combined measurement and time update, one iteration of Kalman filter, time-invariant, square root covariance filter

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© The Numerical Algorithms Group Ltd, Oxford UK. 2013