On the mathematical theory of ensemble (linear-Gaussian) Kalman–Bucy filtering
The purpose of this review is to present a comprehensive overview of the theory of ensemble Kalman–Bucy filtering for continuous-time, linear-Gaussian signal and observation models. We present a system of equations that describe the flow of individual particles and the flow of the sample covariance...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Springer Science and Business Media Deutschland GmbH
2023
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| Subjects: | |
| Online Access: | View Fulltext in Publisher View in Scopus |