Data Assimilation: Mathematical Concepts and Instructive Examples by Rodolfo Guzzi

Author:Rodolfo Guzzi
Language: eng
Format: epub
Publisher: Springer International Publishing, Cham

2.the observations are independent of the given states. For simplicity, we denote with a set of observations available up to some time , while is the solution of filtering problem for

If the conditional pdf of is denoted by , from Bayesian rule we have

(4.1)

where the posterior density is described by three terms:1.The a priori pdf defines the knowledge of the model

(4.2)

where is the transition density of the state.

2.The likelihood essentially determines the measurement noise model in the equation

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