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.
arXiv preprint arXiv:2104.03889 , year=
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Proposes a KL-informed robust optimal transport divergence with stochastic estimation and bootstrap-based SBI for robust inference under joint geometric and TV contamination.
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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.
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Robust Simulation Based Inference Through Robust Optimal Transport
Proposes a KL-informed robust optimal transport divergence with stochastic estimation and bootstrap-based SBI for robust inference under joint geometric and TV contamination.