A diffusion score matching based Kalman filter is developed for robust ensemble filtering under observation noise misspecification, with theoretical guarantees and ensemble implementations tested on Lorenz systems.
Optimal information processing and Bayes’s theorem.The American Statistician, 42(4):278–280, 1988
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Robust ensemble Kalman filtering under observation noise misspecification via diffusion score matching
A diffusion score matching based Kalman filter is developed for robust ensemble filtering under observation noise misspecification, with theoretical guarantees and ensemble implementations tested on Lorenz systems.