Uncertainty quantification in the ensemble Kalman filter

DOI10.1111/SJOS.12039zbMATH Open1283.62196OpenAlexW1583362856MaRDI QIDQ2868872FDOQ2868872

Authors: Henning Omre, J. Sætrom 

Publication date: 19 December 2013

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/sjos.12039

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zbMATH Keywords

sequential Monte Carlodata assimilationlinear regressionensemble inflationhidden Markov modelsl

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Inference from stochastic processes and prediction (62M20)

Cites Work

• Sequential Monte Carlo Methods in Practice
• Title not available (Why is that?)
• Data Assimilation
• Exploring the need for localization in ensemble data assimilation using a hierarchical ensemble filter
• Cross-covariances and localization for EnKF in multiphase flow data assimilation
• Ensemble Kalman filtering with shrinkage regression techniques
• Estimation of high-dimensional prior and posterior covariance matrices in Kalman filter vari\-ants

Cited In (33)

• A langevinized ensemble Kalman filter for large-scale dynamic learning
• The ensemble Kalman filter
• Empirical kalman-Credibility
• Understanding the Ensemble Kalman Filter
• Ensemble Kalman methods for high-dimensional hierarchical dynamic space-time models
• The ensemble Kalman filter is an ABC algorithm
• Sampling error distribution for the ensemble Kalman filter update step
• A shadowing-based inflation scheme for ensemble data assimilation
• Unbiased ensemble square root filters
• A hierarchical Bayes ensemble Kalman filter
• Ensemble Kalman filters and geometric characterization of sensitivity spaces for uncertainty quantification in optimization
• Analysis of the ensemble and polynomial chaos Kalman filters in Bayesian inverse problems
• Improvement on ensemble Kalman filter of nonlinear observational operator
• A sparse matrix formulation of model-based ensemble Kalman filter
• Error estimate for the ensemble Kalman filter analysis step
• Ensemble Kalman filter with the unscented transform
• A new sequential data assimilation method
• Efficient characterization of uncertain model parameters with a reduced-order ensemble Kalman filter
• Multilevel ensemble Kalman filtering
• Identification of factors impacting on the transmission and mortality of COVID-19
• The ensemble particle filter (EnPF) in rainfall-runoff models
• On the consistency of ensemble transform filter formulations
• Ensemble-type numerical uncertainty information from single model integrations
• Comment on ``Ensemble Kalman filter with the unscented transform
• Ensemble Kalman filtering with shrinkage regression techniques
• Score matching filters for Gaussian Markov random fields with a linear model of the precision matrix
• A generalized polynomial chaos based ensemble Kalman filter with high accuracy
• Predictability and unpredictability in Kalman filtering
• Uniform error bounds of the ensemble transform Kalman filter for chaotic dynamics with multiplicative covariance inflation
• Regional weather downscaling using ensemble Kalman filter with singular vector
• Reply to: ``Comment on: `ensemble Kalman filter with the unscented transform
• Inferring unknown unknowns: regularized bias-aware ensemble Kalman filter
• Ensemble updating of categorical state vectors

Uses Software

• EnKF

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