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The optimal two-stage Kalman estimator (OTSKE) is analyzed (C.S. Hsieh and F.C. Chen, see ibid., vol.44. p.194-9, 1999). Comparison with two estimators shows that the optimal two-stage Kalman estimator has no advantage, especially no computational advantage over the augmented state Kalman filter.
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Lo et al. (2002) studied this question.
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