A localized ensemble Kalman-Bucy filter for nonlinear short-range models has component-wise mean-squared error of order sqrt(ε) independent of state dimension, with pathwise error growing only logarithmically in time.
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Analysis of a localised nonlinear Ensemble Kalman Bucy Filter with complete and accurate observations
A localized ensemble Kalman-Bucy filter for nonlinear short-range models has component-wise mean-squared error of order sqrt(ε) independent of state dimension, with pathwise error growing only logarithmically in time.