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math.ST2025
Statistical accuracy of the ensemble Kalman filter in the near-linear setting
E. Calvello, J. A. Carrillo, F. Hoffmann +3
Estimating the state of a dynamical system from partial and noisy observations is a ubiquitous problem in a large number of applications, such as probabilistic weather forecasting…
math.ST2025
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…