Well-posedness and accuracy of the ensemble Kalman filter in discrete and continuous time

DOI10.1088/0951-7715/27/10/2579zbMath1305.62323arXiv1310.3167OpenAlexW1966428296MaRDI QIDQ2925983

David Kelly, Kody J. H. Law, Andrew M. Stuart

Publication date: 29 October 2014

Published in: Nonlinearity (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1310.3167

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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