Geodesic
On the convergence of the ensemble Kalman filter
Applications of Mathematics, Tome 56 (2011) no. 6, pp. 533-541.

Voir la notice de l'article provenant de la source Czech Digital Mathematics Library

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 convergence in probability of the ensemble members, and $L^{p}$ bounds on the ensemble then give $L^{p}$ convergence.
DOI : 10.1007/s10492-011-0031-2
Classification : 60F05, 60F25, 60G09, 62M20, 93E11
Keywords: data assimilation; ensemble; asymptotics; convergence; filtering; exchangeable random variables 
@article{10_1007_s10492_011_0031_2,
     author = {Mandel, Jan and Cobb, Loren and Beezley, Jonathan D.},
     title = {On the convergence of the ensemble {Kalman} filter},
     journal = {Applications of Mathematics},
     pages = {533--541},
     publisher = {mathdoc},
     volume = {56},
     number = {6},
     year = {2011},
     doi = {10.1007/s10492-011-0031-2},
     mrnumber = {2886236},
     zbl = {1248.62164},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.1007/s10492-011-0031-2/}
}
TY  - JOUR
AU  - Mandel, Jan
AU  - Cobb, Loren
AU  - Beezley, Jonathan D.
TI  - On the convergence of the ensemble Kalman filter
JO  - Applications of Mathematics
PY  - 2011
SP  - 533
EP  - 541
VL  - 56
IS  - 6
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/articles/10.1007/s10492-011-0031-2/
DO  - 10.1007/s10492-011-0031-2
LA  - en
ID  - 10_1007_s10492_011_0031_2
ER  - 
%0 Journal Article
%A Mandel, Jan
%A Cobb, Loren
%A Beezley, Jonathan D.
%T On the convergence of the ensemble Kalman filter
%J Applications of Mathematics
%D 2011
%P 533-541
%V 56
%N 6
%I mathdoc
%U http://geodesic.mathdoc.fr/articles/10.1007/s10492-011-0031-2/
%R 10.1007/s10492-011-0031-2
%G en
%F 10_1007_s10492_011_0031_2
Mandel, Jan; Cobb, Loren; Beezley, Jonathan D. On the convergence of the ensemble Kalman filter. Applications of Mathematics, Tome 56 (2011) no. 6, pp. 533-541. doi : 10.1007/s10492-011-0031-2. http://geodesic.mathdoc.fr/articles/10.1007/s10492-011-0031-2/

Cité par Sources :