An ensemble Kalman filter implementation based on the Ledoit and Wolf covariance matrix estimator (Q2222066)
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scientific article; zbMATH DE number 7305059
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| English | An ensemble Kalman filter implementation based on the Ledoit and Wolf covariance matrix estimator |
scientific article; zbMATH DE number 7305059 |
Statements
An ensemble Kalman filter implementation based on the Ledoit and Wolf covariance matrix estimator (English)
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3 February 2021
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ensemble Kalman filter
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shrinkage covariance estimation
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spurious correlations
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sampling errors
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0.8538559079170227
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0.8469182848930359
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0.8145752549171448
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0.7788655757904053
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0.7689762711524963
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