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ON THE CONVERGENCE OF THE ENSEMBLE KALMAN FILTER
Convergence of the ensemble Kalman filter in the limit for large ensembles to the Kalman filter is proved. In each step of the filter, convergence of the ensemble sample covariance follows from a weak law of large numbers for exchangeable random variables, the continuous mapping theorem gives conver...
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| Main Authors: | , , |
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| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
2011
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| Assuntos: | |
| Acesso em linha: | https://ncbi.nlm.nih.gov/pmc/articles/PMC4024107/ https://ncbi.nlm.nih.gov/pubmed/24843228 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1007/s10492-011-0031-2 |
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