Perturbations and projections of Kalman-Bucy semigroups
type: Item
instance of: scholarly article
title: Perturbations and projections of Kalman-Bucy semigroups
zbMATH Open document ID: 1407.62338
author: Adrian N. Bishop
author: Sahani D. Pathiraja
author: Pierre Del Moral
published in: Stochastic Processes and their Applications
publication date: 2018-08-15T00:00:00Z
full work available at URL: https://arxiv.org/abs/1701.05978
Mathematics Subject Classification ID: 62M20
Mathematics Subject Classification ID: 60G35
Mathematics Subject Classification ID: 62H12
zbMATH DE Number: 6918761
zbMATH Keywords: data assimilation
zbMATH Keywords: ensemble Kalman filters
zbMATH Keywords: inflation models
zbMATH Keywords: Kalman-Bucy semigroups
zbMATH Keywords: localisation models
zbMATH Keywords: Riccati equations
zbMATH Keywords: sample covariance regularisation
describes a project that uses: spcov
describes a project that uses: mftoolbox
describes a project that uses: EnKF
MaRDI profile type: Publication
OpenAlex ID: W2762663306
arXiv ID: 1701.05978
cites work: Matrix Riccati equations in control and systems theory
cites work: Solution and asymptotic behavior of coupled Riccati equations in jump linear systems
cites work: Q5310048
cites work: Q4828542
cites work: A non-commutative spectral theorem
cites work: \(H^ \infty\)-optimal control and related minimax design problems. A dynamic game approach.
cites work: Linear-quadratic, two person, zero-sum differential games: Necessary and sufficient conditions
cites work: Regularized estimation of large covariance matrices
cites work: Sparse estimation of a covariance matrix
cites work: On the Stability of Kalman--Bucy Diffusion Processes
cites work: On Linear Associative Algebras Corresponding to Association Schemes of Partially Balanced Designs
cites work: Q3992965
cites work: Convergence of the time-invariant Riccati differential equation towards its strong solution for stabilizable systems
cites work: Asymptotic behaviour of the solution of the projection Riccati differential equation
cites work: Q4426037
cites work: Estimation of a covariance matrix with zeros
cites work: The masked sample covariance estimator: an analysis using matrix concentration inequalities
cites work: On the existence of maximal solution for generalized algebraic Riccati equations arising in stochastic control
cites work: On the Stability and the Uniform Propagation of Chaos of a Class of Extended Ensemble Kalman--Bucy Filters
cites work: Linear Quadratic Differential Games: Saddle Point and Riccati Differential Equation
cites work: On the stability and the uniform propagation of chaos properties of ensemble Kalman-Bucy filters
cites work: Association schemes and coding theory
cites work: Operator norm consistent estimation of large-dimensional sparse covariance matrices
cites work: Generalized Riccati difference and differential equations
cites work: A class of Wasserstein metrics for probability distributions
cites work: Automating the analysis of variance of orthogonal designs
cites work: Empirical Bayes estimation of the multivariate normal covariance matrix
cites work: Functions of Matrices
cites work: Well-posedness and accuracy of the ensemble Kalman filter in discrete and continuous time
cites work: Wishart distributions for decomposable covariance graph models
cites work: Sparsistency and rates of convergence in large covariance matrix estimation
cites work: Deterministic mean-field ensemble Kalman filtering
cites work: A well-conditioned estimator for large-dimensional covariance matrices
cites work: Q3015759
cites work: Partial estimation of covariance matrices
cites work: Performance of Ensemble Kalman Filters in Large Dimensions
cites work: On the convergence of the ensemble Kalman filter.
cites work: Generalized Riccati equations arising in stochastic games
cites work: The analysis of randomized experiments with orthogonal block structure. I. Block structure and the null analysis of variance
cites work: The distance between two random vectors wigh given dispersion matrices
cites work: A miscellany of results of an equation of Count J. F. Riccati
cites work: Can local particle filters beat the curse of dimensionality?
cites work: Ensemble filter techniques for intermittent data assimilation - a survey
cites work: Relation between two common localisation methods for the EnKF
cites work: Ensemble Kalman filtering with shrinkage regression techniques
cites work: Nonlinear stability and ergodicity of ensemble based Kalman filters
cites work: Nonlinear stability of the ensemble Kalman filter with adaptive covariance inflation
cites work: An inequality for trace ideals
cites work: On a Matrix Riccati Equation of Stochastic Control
DOI: 10.1016/J.SPA.2017.10.006
description: scientific article