Uniform error bounds of the ensemble transform Kalman filter for chaotic dynamics with multiplicative covariance inflation

DOI10.1137/24M1637192MaRDI QIDQ6669403zbMATH OpenFDO

Authors Takashi Sakajo

Publication date 22 January 2025

Published in SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

zbMATH Keywords

data assimilationaccuracydissipative dynamicsensemble Kalman filterfiltering problem

Mathematics Subject Classification ID

Bayesian inference (62F15) Monte Carlo methods (65C05) Inference from stochastic processes and prediction (62M20) PDEs in connection with control and optimization (35Q93) Inverse problems for PDEs (35R30)

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Cites work

• scientific article; zbMATH DE number 194032 (Why is no real title available?)
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• Infinite-dimensional dynamical systems in mechanics and physics.
• Long-time stability and accuracy of the ensemble Kalman-Bucy filter for fully observed processes and small measurement noise
• Mean field limit of ensemble square root filters -- discrete and continuous time
• Non-asymptotic analysis of ensemble Kalman updates: effective dimension and localization
• Nonlinear dynamics and statistical theories for basic geophysical flows.
• Nonlinear stability and ergodicity of ensemble based Kalman filters
• Nonlinear stability of the ensemble Kalman filter with adaptive covariance inflation
• On the convergence of the ensemble Kalman filter.
• Probabilistic Forecasting and Bayesian Data Assimilation
• Spectrum of the Product of Operators
• Well-posedness and accuracy of the ensemble Kalman filter in discrete and continuous time

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