# Unbiased Estimation of the Vanilla and Deterministic Ensemble Kalman-Bucy Filters

@article{Alvarez2022UnbiasedEO, title={Unbiased Estimation of the Vanilla and Deterministic Ensemble Kalman-Bucy Filters}, author={Miguel Alvarez and Neil K. Chada and Ajay Jasra}, journal={ArXiv}, year={2022}, volume={abs/2208.03947} }

In this article we consider the development of an unbiased estimator for the ensemble Kalman– Bucy ﬁlter (EnKBF). The EnKBF is a continuous-time ﬁltering methodology which can be viewed as a continuous-time analogue of the famous discrete-time ensemble Kalman ﬁlter. Our unbiased estimators will be motivated from recent work [Rhee & Glynn 2010, [31]] which introduces randomization as a means to produce unbiased and ﬁnite variance estimators. The randomization enters through both the level of…

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