Analysis of a localised nonlinear ensemble Kalman Bucy filter with complete and accurate observations

DOI10.1088/1361-6544/ab8d14zbMath1458.62212arXiv1908.10580OpenAlexW2970130155MaRDI QIDQ5130910

Jana de Wiljes, Xin Thomson Tong

Publication date: 29 October 2020

Published in: Nonlinearity (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1908.10580

zbMATH Keywords

error estimatesdata assimilationensemble Kalman-Bucy filter

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Bayesian inference (62F15) Filtering in stochastic control theory (93E11) Sequential statistical analysis (62L10) Statistical aspects of big data and data science (62R07)

Related Items (6)

Multilevel Ensemble Kalman–Bucy Filters ⋮ Localized ensemble Kalman inversion ⋮ On the mathematical theory of ensemble (linear-Gaussian) Kalman-Bucy filtering ⋮ Rough McKean-Vlasov dynamics for robust ensemble Kalman filtering ⋮ McKean--Vlasov SDEs in Nonlinear Filtering ⋮ Analysis of the feedback particle filter with diffusion map based approximation of the gain

Uses Software

• EnKF

Cites Work

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