# Bayesian Parameter Estimation via Filtering and Functional Approximations

@article{Matthies2016BayesianPE, title={Bayesian Parameter Estimation via Filtering and Functional Approximations}, author={Hermann G. Matthies and Alexander Litvinenko and Bojana V. Rosic and Elmar Zander}, journal={arXiv: Numerical Analysis}, year={2016} }

The inverse problem of determining parameters in a model by comparing some output of the model with observations is addressed. This is a description for what hat to be done to use the Gauss-Markov-Kalman filter for the Bayesian estimation and updating of parameters in a computational model. This is a filter acting on random variables, and while its Monte Carlo variant --- the Ensemble Kalman Filter (EnKF) --- is fairly straightforward, we subsequently only sketch its implementation with the…

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