On the Kalman Filter error covariance collapse into the unstable subspace
When the Extended Kalman Filter is applied to a chaotic system, the rank of the error covariance matrices, after a sufficiently large number of iterations, reduces to <i>N</i><sup>+</sup> + N<sup>0</sup> where &am...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Copernicus Publications
2011-03-01
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| Series: | Nonlinear Processes in Geophysics |
| Online Access: | http://www.nonlin-processes-geophys.net/18/243/2011/npg-18-243-2011.pdf |