Fig. 1
Pairwise MCMC samples using EKF (left panel) and EAKF (right panel) version of the filter likelihood formula [eq. (3)]. In addition to the model parameters θ 0 and θ 1, filter related parameters are sampled too. Contours illustrate 95% and 50% probability regions. Also, the one-dimensional marginal densities are illustrated.
Fig. 2
Average posterior RMSE values [eq. (9)] when using EKF (left panel) and EAKF (right panel). Lower values indicate better performance. Solid and dashed lines indicate the 50% and 95% probability regions as obtained with MCMC in case of EAKF and EKF, respectively. RMSE values are depicted by the background colour scheme. Note the difference in colour scales.