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
1. Asymmetric auctions Consider an interdependent-values auction with two bidders, each of whom observes an i.i.d uniform signal s; E [ 0, 1]. Bidder i' s valuation for the object is equal to