Score matching filters for Gaussian Markov random fields with a linear model of the precision matrix
2021
Abstract
We present an ensemble filtering method based on a linear model for the precision matrix (the inverse of the covariance) with the parameters determined by Score Matching Estimation. The method provides a rigorous covariance regularization when the underlying random field is Gaussian Markov.
The parameters are found by solving a system of linear equations. The analysis step uses the inverse formulation of the Kalman update.
Several filter versions, differing in the construction of the analysis ensemble, are proposed, as well as a Score matching version of the Extended Kalman Filter.