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Covariance inflation in the ensemble Kalman filter: a residual nudging perspective and some implications
Covariance inflation ensemble Kalman filter residual nudging perspective some implications
2013/6/17
This note examines the influence of covariance inflation on the distance between the measured observation and the simulated (or predicted) observation with respect to the state estimate. In order for ...
A higher order correlation unscented Kalman filter
Sequential Parameter Estimation Nonlinear Systems Unscented Kalman Filter Continuous-discrete State Space Estimation of Uncorrelated States Volatility Estimation
2012/9/19
Many nonlinear extensions of the Kalman filter, e.g., the extended and the unscented Kalman filter, reduce the state densities to Gaussian densities. This approximation gives sufficient results in man...
INS/GPS 组合导航系统的本质是非线性的, 为改善非线性下INS/GPS 组合导航精度, 提出将一种新的非线性滤波cubature Kalman filter(CKF) 应用于INS/GPS 组合导航中. 为此, 建立了基于平台失准角的非线性状态模型和以速度误差及位置误差描述的观测模型, 分析了CKF 滤波原理, 设计了INS/GPS 组合滤波器, 对组合导航非线性模型进行了仿真. 仿真结果显...
Data Driven Computing by the Morphing Fast Fourier Transform Ensemble Kalman Filter in Epidemic Spread Simulations
Data Driven Computing Morphing Fast Fourier Transform Ensemble Kalman Filter Epidemic Spread Simulations
2010/3/11
The FFT EnKF data assimilation method is proposed and applied to a stochastic
cell simulation of an epidemic, based on the S-I-R spread model. The FFT EnKF
combines spatial statistics and ensemble f...
On the Convergence of the Ensemble Kalman Filter
Exchangeable random variables Monte-Carlo methods dataassimilation theoretical analysis asymptotics EnKF filtering
2010/3/17
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 we...