On the continuous time limit of ensemble square root filters

  title={On the continuous time limit of ensemble square root filters},
  author={Theresa Lange and Wilhelm Stannat},
  journal={Communications in Mathematical Sciences},
  • Theresa Lange, W. Stannat
  • Published 28 October 2019
  • Mathematics, Environmental Science
  • Communications in Mathematical Sciences
We provide a continuous time limit analysis for the class of Ensemble Square Root Filter algorithms with deterministic model perturbations. In the particular linear case, we specify general conditions on the model perturbations implying convergence of the empirical mean and covariance matrix towards their respective counterparts of the Kalman-Bucy Filter. As a second main result we identify additional assumptions for the convergence of the whole ensemble towards solutions of the Ensemble Kalman… 

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