Bridging the ensemble Kalman and particle filters

DOI10.1093/biomet/ast020zbMath1279.62199arXiv1208.0463MaRDI QIDQ2870248

Marco Frei, Hans R. Künsch

Publication date: 17 January 2014

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1208.0463

zbMATH Keywords

nonlinear filtering; state space model; ensemble Kalman filter

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

65C05: Monte Carlo methods

Related Items

Coupling Techniques for Nonlinear Ensemble Filtering, A Defensive Marginal Particle Filtering Method for Data Assimilation, Ensemble Transform Algorithms for Nonlinear Smoothing Problems, Data assimilation: The Schrödinger perspective, Localization in High-Dimensional Monte Carlo Filtering, Second-order Accurate Ensemble Transform Particle Filters, A Hybrid Ensemble Transform Particle Filter for Nonlinear and Spatially Extended Dynamical Systems, Particle filters, Importance sampling: intrinsic dimension and computational cost, Affine-mapping based variational ensemble Kalman filter, Resampled ensemble Kalman inversion for Bayesian parameter estimation with sequential data, A comparison of nonlinear extensions to the ensemble Kalman filter. Gaussian anamorphosis and two-step ensemble filters, On nonnegative unbiased estimators, Sequential Bayesian inference for implicit hidden Markov models and current limitations