The mean field ensemble Kalman filter: near-Gaussian setting
The ensemble Kalman filter is widely used in applications because, for high dimensional filtering problems, it has a robustness that is not shared for example by the particle filter; in particular it does not suffer from weight collapse. However, there is no theory which quantifies its accuracy as...
| Main Authors: | , , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Society for Industrial and Applied Mathematics
2024
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