Dimensionality of the problem
Number of observations: M
State vector xa and xb: x = (N ´ 1)
Observation vector: y = (M ´ 1)
Model equivalent of the observations:
Observation operator H = (M ´N)
Background error covariances B = ((N´N)
Observation error covariances R = (M´M)
Background error in observation space HBHT = (M´M)