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ON THE CONVERGENCE OF THE ENSEMBLE KALMAN FILTER.

Appl Math (Prague) 2011 Dec;56(6):533-541

Denver, CO, USA.

Convergence of the ensemble Kalman filter in the limit for large ensembles to the Kalman filter is proved. In each step of the filter, convergence of the ensemble sample covariance follows from a weak law of large numbers for exchangeable random variables, the continuous mapping theorem gives convergence in probability of the ensemble members, and bounds on the ensemble then give convergence. Read More

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http://dx.doi.org/10.1007/s10492-011-0031-2DOI Listing
http://www.ncbi.nlm.nih.gov/pmc/articles/PMC4024107PMC
December 2011
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