UNBIASED ESTIMATION OF THE VANILLA AND DETERMINISTIC ENSEMBLE KALMAN-BUCY FILTERS

Abstract

In this paper, we consider the development of unbiased estimators for the ensemble Kalman-Bucy filter (EnKBF). The EnKBF is a continuous-time filtering methodology, which can be viewed as a continuous-time analog of the famous discrete-time ensemble Kalman filter. Our unbiased estimators will be motivated from recent work (Rhee and Glynn, Oper. Res., 63:1026-1053, 2015) which introduces randomization as a means to produce unbiased and finite variance estimators. The randomization enters through both the level of discretization and through the number of samples at each level. Our unbiased estimator will be specific to models that are linear and Gaussian. This is due to the fact that the EnKBF itself is consistent, in the large particle limit N → ∞, with the Kalman-Bucy filter, which allows us one derive theoretical insights. Specifically, we introduce two unbiased EnKBF estimators that will be applied to two particular variants of the EnKBF, which are the deterministic and vanilla EnKBF. Numerical experiments are conducted on a linear Ornstein-Uhlenbeck process, which includes a high-dimensional example. Our unbiased estimators will be compared to the multilevel. We also provide a proof of the multilevel deterministic EnKBF, which provides a guideline for some of the unbiased methods.