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.
Generalised Bayesian filtering via sequential Monte Carlo.Advances in Neural Information Processing Systems, 33:418–429, 2020
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
math.ST 1years
2026 1verdicts
UNVERDICTED 1representative citing papers
citing papers explorer
-
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.