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Mathematics Research Report MRR95-038
On Filter Algorithms For Computing Least Squares Splines
Inge Soderkvist
Abstract:
The problem of computing a least squares spline using Kalman filter
algorithms is
considered. An appropriate stochastic setting is identified and a new efficient
algorithm, based on techniques for weighted and constrained linear least
squares, is
presented. Numerical examples illustrating good numerical properties of the
new algorithm
are given.
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