Error Estimate for the Ensemble Kalman Filter Analysis Step

DOI10.1137/100793876zbMath1235.93241OpenAlexW1989803917MaRDI QIDQ3225538

Geir Nævdal, Andrey Kovalenko, Trond Mannseth

Publication date: 21 March 2012

Published in: SIAM Journal on Matrix Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/100793876

zbMATH Keywords

random matricesMonte Carlo methodsfilteringdata assimilationensemble Kalman filtermatrix variate distribution

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Random matrices (algebraic aspects) (15B52)

Related Items (2)

Numerical linear algebra in data assimilation ⋮ An efficient implementation of the ensemble Kalman filter based on an iterative Sherman-Morrison formula

Uses Software

• EnKF

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