surement
  and time update of one iteration of the Kalman filter (square
  root information filter).

</PRE>
<A name="Specification"><B><FONT SIZE="+1">Specification</FONT></B></A>
<PRE>
      SUBROUTINE MB04KD( UPLO, N, M, P, R, LDR, A, LDA, B, LDB, C, LDC,
     $                   TAU, DWORK )
C     .. Scalar Arguments ..
      CHARACTER         UPLO
      INTEGER           LDA, LDB, LDC, LDR, M, N, P
C     .. Array Arguments ..
      DOUBLE PRECISION  A(LDA,*), B(LDB,*), C(LDC,*), DWORK(*),
     $       