Introduction to Infinite Dimensional Statistics and Applications

Abstract

These notes started to educate ourselves and to collect some background for our future work, with the hope that perhaps they will be useful to others also. Many if not all results are more or less elementary or available in the literature, but we need to fill some holes (which are undoubtely statements so trivial that the authors we use do not consider them holes at all) or make straightforward extensions, and then we do the proofs in sufficient detail for reference. Topics include random fields and stochastic processes as random elements in Hilbert spaces, Karhunen-Lo\`{e}ve explansion and random orthonormal series, laws of large numbers, white noise, convergence of the Ensemble Kalman Filter (EnKF), and the ensemble Kalman Transform Filter (ETKF).