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Long-Time Stability and Accuracy of the Ensemble Kalman-Bucy Filter for Fully Observed Processes and Small Measurement Noise.

Jana de WiljesSebastian ReichWilhelm Stannat
Published in: SIAM J. Appl. Dyn. Syst. (2018)
Keyphrases
  • measurement noise
  • kalman filtering
  • kalman filter
  • filtering algorithm
  • high accuracy
  • prediction accuracy
  • training data
  • ensemble pruning
  • pairwise
  • heavy tails
  • high quality
  • noise reduction
  • ensemble members