Catastrophic filter divergence in filtering nonlinear dissipative systems

DOI10.4310/CMS.2010.v8.n1.a3zbMath1190.93096MaRDI QIDQ973204

John Harlim, Andrew J. Majda

Publication date: 28 May 2010

Published in: Communications in Mathematical Sciences (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.cms/1266935012

zbMATH Keywords

Kalman filter; filter divergence; Lorenz-96 model

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

93E11: Filtering in stochastic control theory

65C20: Probabilistic models, generic numerical methods in probability and statistics

62L12: Sequential estimation

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