Degenerate Kalman Filter Error Covariances and Their Convergence onto the Unstable Subspace

Marc Bocquet, Karthik S. Gurumoorthy, Amit Apte, Alberto Carrassi, Colin Grudzien, Christopher K. R. T. Jones. Degenerate Kalman Filter Error Covariances and Their Convergence onto the Unstable Subspace. SIAM/ASA J. Uncertain. Quantification, 5(1):304-333, 2017. [doi]

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