An efficient ensemble Kalman filter implementation via shrinkage covariance matrix estimation: exploiting prior knowledge
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Cites work
- A well-conditioned estimator for large-dimensional covariance matrices
- An adjoint-free four-dimensional variational data assimilation method via a modified Cholesky decomposition and an iterative Woodbury matrix formula
- An ensemble Kalman filter implementation based on the Ledoit and Wolf covariance matrix estimator
- Chapter 2: Optimal control and variational data assimilation
- Efficient data assimilation for spatiotemporal chaos: a local ensemble transform Kalman filter
- Large dimensional analysis and optimization of robust shrinkage covariance matrix estimators
- Nonparametric Stein-type shrinkage covariance matrix estimators in high-dimensional settings
- On Using a priori Knowledge in Space-Time Adaptive Processing
- Optimal estimation of a large-dimensional covariance matrix under Stein's loss
- Relation between two common localisation methods for the EnKF
- Shrinkage Algorithms for MMSE Covariance Estimation
Cited in
(11)- Estimation of high-dimensional prior and posterior covariance matrices in Kalman filter vari\-ants
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- A unified framework for the analysis of accuracy and stability of a class of approximate Gaussian filters for the Navier-Stokes equations
- Combining sensitivities and prior information for covariance localization in the ensemble Kalman filter for petroleum reservoir applications
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- Ensemble Kalman filtering for non-linear likelihood models using kernel-shrinkage regression techniques
- Accelerating inverse inference of ensemble Kalman filter via reduced-order model trained using adaptive sparse observations
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