Ensemble Kalman filtering with shrinkage regression techniques

DOI10.1007/S10596-010-9196-0zbMATH Open1213.62149OpenAlexW1978291220MaRDI QIDQ536583FDOQ536583

Authors: J. Sætrom, Henning Omre 

Publication date: 19 May 2011

Published in: Computational Geosciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10596-010-9196-0

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zbMATH Keywords

cross-validationmodel overfitting

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Inference from stochastic processes and prediction (62M20)

Cites Work

• Principal component analysis.
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• A well-conditioned estimator for large-dimensional covariance matrices
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• Fisher lecture: Dimension reduction in regression
• The Estimation of Prediction Error
• Data Assimilation
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• Estimation of high-dimensional prior and posterior covariance matrices in Kalman filter vari\-ants
• Efficient quadratic regularization for expression arrays

Cited In (11)

• Understanding the Ensemble Kalman Filter
• Kalman filter variants in the closed skew normal setting
• Uncertainty quantification in the ensemble Kalman filter
• Improving the ensemble estimate of the Kalman gain by bootstrap sampling
• A reduced basis ensemble Kalman method
• Perturbations and projections of Kalman-Bucy semigroups
• Coupling Techniques for Nonlinear Ensemble Filtering
• An ensemble Kalman filter for statistical estimation of physics constrained nonlinear regression models
• Ensemble-based seismic and production data assimilation using selection Kalman model
• Ensemble Kalman Methods for High-Dimensional Hierarchical Dynamic Space-Time Models
• Ensemble Kalman filtering for non-linear likelihood models using kernel-shrinkage regression techniques

Uses Software

• EnKF
• rda
• ElemStatLearn

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