Estimation of high-dimensional prior and posterior covariance matrices in Kalman filter vari\-ants

DOI10.1016/J.JMVA.2006.08.003zbMath1105.62091OpenAlexW2084913894WikidataQ57816062 ScholiaQ57816062MaRDI QIDQ864265

Thomas Bengtsson, Reinhard Furrer

Publication date: 13 February 2007

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2006.08.003

zbMATH Keywords

ensemble Kalman filtertaperingshrinkingcovariance boostingmatrix expansionssquare-root filter

Mathematics Subject Classification ID

Directional data; spatial statistics (62H11) Inference from stochastic processes and prediction (62M20) Monte Carlo methods (65C05) Norms of matrices, numerical range, applications of functional analysis to matrix theory (15A60) Geostatistics (86A32)

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