An ensemble Kalman filter implementation based on the Ledoit and Wolf covariance matrix estimator
DOI10.1016/j.cam.2020.113163zbMath1459.62081OpenAlexW3080352670MaRDI QIDQ2222066
Daladier Jabba, Luis Guzman, Elias D. Nino Ruiz
Publication date: 3 February 2021
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2020.113163
Inference from stochastic processes and prediction (62M20) Estimation in multivariate analysis (62H12) Asymptotic distribution theory in statistics (62E20) Point estimation (62F10) Signal detection and filtering (aspects of stochastic processes) (60G35)
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Cites Work
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