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Until now, there has been no systematic treatment of the mathematical underpinning of work in data assimilation for atmospheric, oceanographic and other geosciences. This book uses a Bayesian formulation to develop a unified mathematical framework that serves as the bedrock for developing algorithms in these and other fields where data must be combined with a time-dependent model. The first half of the book is concerned with discrete time dynamical systems and discrete time data, while the second half investigates continuous time dynamical systems and continuous time data. Both sections have MATLAB programs, with discussions thereof, throughout. For those researchers in mathematics, or researchers in a variety of application domains, this book will clearly define data assimilation.§
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