Nonlinear stability of the ensemble Kalman filter with adaptive covariance inflation

DOI10.4310/CMS.2016.v14.n5.a5zbMath1370.37009arXiv1507.08319MaRDI QIDQ311086

Mohammad Hasan, M. Dambrine

Publication date: 28 September 2016

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

Full work available at URL: https://arxiv.org/abs/1507.08319

zbMATH Keywords

ergodicity; nonlinear stability; Kalman filter; Markov chain

Mathematics Subject Classification ID

93E11: Filtering in stochastic control theory

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

37A25: Ergodicity, mixing, rates of mixing

62L12: Sequential estimation

60G25: Prediction theory (aspects of stochastic processes)

Uses Software

• EnKF