Non-Gaussian Estimation of Nonlinear Continuous-discrete Models: Application of Ensemble Kalman Filter
Masaya Murata, Kaoru Hiramatsu · Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications · 2017
Ensemble Kalman filter, representing a sub-optimal non-Gaussian filter, for nonlinear continuous-discrete models is investigated. We formulate the filtering algorithm based on multiple distribution estimation and a bank of extended Kalman filters. The simulation study on satellite re-entry is also provided.