Second-order Accurate Ensemble Transform Particle Filters
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Publication:5357966
DOI10.1137/16M1095184zbMath1373.65001arXiv1608.08179MaRDI QIDQ5357966
Sebastian Reich, Jana de Wiljes, Walter Acevedo
Publication date: 18 September 2017
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1608.08179
parameter estimation; nonlinear evolution equations; Bayesian inference; data assimilation; particle filter; sequential Monte Carlo methods; numerical result; ensemble Kalman filter; linear transport problem; Sinkhorn approximation
62M20: Inference from stochastic processes and prediction
62F15: Bayesian inference
65C05: Monte Carlo methods
Uses Software