Contents o S1.Introduction o S2.Conventional Kalman filter o S3.Example o S4.RLS and Kalman filtering o S5.Square-root information filter o S6.Square-root covariance filter Better numerical properties than the conventional one The square-root RLS algorithms are special cases 66 Contents  S1. Introduction  S2. Conventional Kalman filter  S3. Example  S4. RLS and Kalman filtering  S5. Square-root information filter  S6. Square-root covariance filter  Better numerical properties than the conventional one  The square-root RLS algorithms are special cases