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On the convergence of the ensemble Kalman filter

Jan Mandel, Loren Cobb, Jonathan D. Beezley (2011)

Applications of Mathematics

Convergence of the ensemble Kalman filter in the limit for large ensembles to the Kalman filter is proved. In each step of the filter, convergence of the ensemble sample covariance follows from a weak law of large numbers for exchangeable random variables, the continuous mapping theorem gives convergence in probability of the ensemble members, and L p bounds on the ensemble then give L p convergence.

On the equivalence of some eternal additive coalescents

Anne-Laure Basdevant (2008)

Annales de l'I.H.P. Probabilités et statistiques

In this paper, we study additive coalescents. Using their representation as fragmentation processes, we prove that the law of a large class of eternal additive coalescents is absolutely continuous with respect to the law of the standard additive coalescent on any bounded time interval.

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