Statistical interpolation (or method of Gauss-Markov) (Gandin, 1963; Rutherford, 1973; Schlatter,1977; Daley, 1991)
y Î Rm: observation vector (m ~ 105)
X Î Rn: model state vector (n ~ 107)
H: Rn ® Rm: observation operator
B = áebebTñ: background error covariance matrix
R = áeoeoTñ: observation error covariance matrix
Background and observation error are assumed to be uncorrelated áebeoTñ = 0.
and unbiased áebñ = áeoñ = 0