The ensemble Kalman filter is an ABC algorithm

DOI10.1007/S11222-011-9300-XzbMATH Open1252.62094OpenAlexW2020868785MaRDI QIDQ693369FDOQ693369

Authors: David J. Nott, Lucy Marshall, Tran Minh Ngoc 

Publication date: 7 December 2012

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11222-011-9300-x

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zbMATH Keywords

approximate Bayesian computationdata assimilationregression adjustment

Mathematics Subject Classification ID

Bayesian inference (62F15) Inference from stochastic processes and prediction (62M20)

Cites Work

• Bayesianly justifiable and relevant frequency calculations for the applied statistician
• Filtering via approximate Bayesian computation
• Data Assimilation
• Estimation of high-dimensional prior and posterior covariance matrices in Kalman filter vari\-ants

Cited In (7)

• Ensemble Kalman methods for high-dimensional hierarchical dynamic space-time models
• Approximate Bayesian Computation for a Class of Time Series Models
• A hierarchical Bayes ensemble Kalman filter
• McKean--Vlasov SDEs in Nonlinear Filtering
• Ensemble Kalman inversion for general likelihoods
• Hierarchical nonlinear spatio-temporal agent-based models for collective animal movement
• Multilevel Monte Carlo in approximate Bayesian computation

Uses Software

• EnKF

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