A nonlinear test model for filtering slow-fast systems

DOI10.4310/CMS.2008.v6.n3.a5zbMath1152.62065OpenAlexW2022007352MaRDI QIDQ957484

Boris Gershgorin, Andrew J. Majda

Publication date: 27 November 2008

Published in: Communications in Mathematical Sciences (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.cms/1222716948

zbMATH Keywords

nonlinear modelextended Kalman filtermodel errorspartial observationsexact statisticsfilter performancemean and covariance

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Signal detection and filtering (aspects of stochastic processes) (60G35)

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