State and Parameter Estimation from Observed Signal Increments
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Publication:6316178
DOI10.3390/E21050505arXiv1903.10717WikidataQ103833373 ScholiaQ103833373MaRDI QIDQ6316178FDOQ6316178
Authors: Nikolas Nüsken, Sebastian Reich, Paul. J. Rozdeba 
Publication date: 26 March 2019
Abstract: The success of the ensemble Kalman filter has triggered a strong interest in expanding its scope beyond classical state estimation problems. In this paper, we focus on continuous-time data assimilation where the model and measurement errors are correlated and both states and parameters need to be identified. Such scenarios arise from noisy and partial observations of Lagrangian particles which move under a stochastic velocity field involving unknown parameters. We take an appropriate class of McKean-Vlasov equations as the starting point to derive ensemble Kalman-Bucy filter algorithms for combined state and parameter estimation. We demonstrate their performance through a series of increasingly complex multi-scale model systems.
Monte Carlo methods (65C05) Inference from stochastic processes and prediction (62M20) Numerical smoothing, curve fitting (65D10) Filtering in stochastic control theory (93E11) Stochastic particle methods (65C35) Optimal stochastic control (93E20)
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