A Continuous-Time Ensemble Kalman-Bucy Smoother for Causal Inference and Model Discovery
用于因果推断与模型发现的连续时间集合 Kalman–Bucy 平滑器
Data assimilation (DA) integrates observational information with model predictions to improve state estimation in complex systems. While filtering provides the basis for online forecasts by using only past and present observations, it can exhibit delays and biases when the underlying dynamics evolve rapidly or undergo regime transitions. Smoothing, which additionally incorporates future observations, provides a natural pipeline for hindcasting and reanalysis that yields an…