A theoretical analysis of one-dimensional discrete generation ensemble Kalman particle filters
DOI10.1214/22-aap1843zbMath1525.60048arXiv2107.01855OpenAlexW3179527359MaRDI QIDQ6103998
Publication date: 5 June 2023
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2107.01855
exponential stabilityrational difference equationsensemble Kalman filterFeynman-Kac formulaenoncentral \(\chi\)-squarestochastic perturbation theoremsstochastic Riccati difference equationuniform estimates with respect to the time horizon
Central limit and other weak theorems (60F05) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Numerical investigation of stability of solutions to ordinary differential equations (65L07) Stochastic particle methods (65C35)
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