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Optimal Combination

Given two estimates of a set of parameters and and their covariances, , we can combine the two sets of data as follows


This method combines the data in the least squares sense, that is the approximation to the stored in the covariance matrices has been combined directly to give the minimum of the quadratic form. The method can be rewritten slightly giving

where . In this form the method is directly comparable to the information filter form of the Kalman filter.

Bob Fisher
Fri Mar 28 14:12:50 GMT 1997