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- W2729202261 abstract "This paper provides a proof of convergence of the standard EnKF generalizedto non-Gaussian state space models, based on the indistinguishability propertyof the joint distribution on the ensemble. A density-based deterministicapproximation of the mean-field EnKF (MFEnKF) is proposed, consisting of a PDEsolver and a quadrature rule. Given a certain minimal order of convergence kbetween the two, this extends to the deterministic filter approximation, whichis therefore asymptotically superior to standard EnKF for d<2k. The fidelity ofapproximation of the true distribution is also established using an extensionof total variation metric to random measures. This is limited by a Gaussianbias term arising from non-linearity/non-Gaussianity of the model, which arisesin both deterministic and standard EnKF. Numerical results support and extendthe theory." @default.
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- W2729202261 date "2014-09-02" @default.
- W2729202261 modified "2023-10-16" @default.
- W2729202261 title "Deterministic Methods for Filtering, part I: Mean-field Ensemble Kalman Filtering" @default.
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