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math.ST2024
Accuracy of the Ensemble Kalman Filter in the Near-Linear Setting
Edoardo Calvello, Pierre Monmarché, Andrew M. Stuart +1
The filtering distribution captures the statistics of the state of a dynamical system from partial and noisy observations. Classical particle filters provably approximate this dist…
math.NA2024
Statistical Accuracy of Approximate Filtering Methods
J. A. Carrillo, F. Hoffmann, A. M. Stuart +1
Estimating the statistics of the state of a dynamical system, from partial and noisy observations, is both mathematically challenging and finds wide application. Furthermore, the a…