Covariance inflation factor helps combat filter divergence, where the model becomes overconfident in itself and ignores assimilated observations. I think the covariance inflation factor should be unique to all segments, although I could just estimate one factor that would be applied to all segment states/ parameters.
Covariance inflation factor helps combat filter divergence, where the model becomes overconfident in itself and ignores assimilated observations. I think the covariance inflation factor should be unique to all segments, although I could just estimate one factor that would be applied to all segment states/ parameters.