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## Improving the condition number of estimated covariance matrices. (arXiv:1810.10984v1 [math.OC])

High dimensional error covariance matrices are used to weight the contribution of observation and background terms in data assimilation procedures. As error covariance matrices are often obtained by sampling methods, the resulting matrices are often degenerate or ill-conditioned, making them too expensive to use in practice. In order to combat these problems, reconditioning methods are used. In this paper we present new theory for two existing methods that can be used to reduce the condition number of (or 'recondition') any covariance matrix: ridge regression, and the minimum eigenvalue method. These methods are used in practice at numerical weather prediction centres, but their theoretical impact on the covariance matrix itself is not well understood. Here we address this by investigating the impact of reconditioning on variances and covariances of a general covariance matrix in both a theoretical and practical setting. Improved theoretical understanding provides guidance to users wit查看全文

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 你的名字 留空匿名提交 你的Email或网站 用户可以联系你 标题 简单描述 内容 High dimensional error covariance matrices are used to weight the contribution of observation and background terms in data assimilation procedures. As error covariance matrices are often obtained by sampling methods, the resulting matrices are often degenerate or ill-conditioned, making them too expensive to use in practice. In order to combat these problems, reconditioning methods are used. In this paper we present new theory for two existing methods that can be used to reduce the condition number of (or 'recondition') any covariance matrix: ridge regression, and the minimum eigenvalue method. These methods are used in practice at numerical weather prediction centres, but their theoretical impact on the covariance matrix itself is not well understood. Here we address this by investigating the impact of reconditioning on variances and covariances of a general covariance matrix in both a theoretical and practical setting. Improved theoretical understanding provides guidance to users wit
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