A Class of Spatial Filtering Problems with Unknown Spatial Observations
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We consider a class of high-dimensional spatial filtering problems, where the spatial locations of the observations are unknown and driven by the unobserved signal. This problem is exceptionally challenging as not only is the problem of high-dimensions in the signal, but the model for the signal yields longer-range time dependencies on this object. Motivated by this model we revisit a lesser-known and exact computational methodology from Centanni & Minozzo (2006a) (see also Martin et al. (2013)) designed for filtering of point-processes. We adapt the methodology for this new class of problem. The algorithm is implemented on high-dimensional (of the order of 10^4) rotating shallow water model with real and synthetic observational data from ocean drifters. In comparison to existing methodology, we demonstrate a significant improvement in speed and accuracy.
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