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.
Non-Gaussian state-space modeling of nonstationary time series.Journal of the American Statistical Association, 82(400):1032–1041, 1987
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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.