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.
Estimating density models with truncation boundaries using score matching.The Journal of Machine Learning Research, 23(1):8448–8485, 2022
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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.