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

Recommendations

• Large sample asymptotics for the ensemble Kalman filter
• Uncertainty quantification in the ensemble Kalman filter
• On the convergence of the ensemble Kalman filter.
• Analysis of the ensemble Kalman filter for inverse problems
• Multilevel ensemble Kalman filtering

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 (6)

• Approximate Bayesian Computation for a Class of Time Series Models
• McKean--Vlasov SDEs in Nonlinear Filtering
• Ensemble Kalman inversion for general likelihoods
• Hierarchical nonlinear spatio-temporal agent-based models for collective animal movement
• Ensemble Kalman Methods for High-Dimensional Hierarchical Dynamic Space-Time Models
• Multilevel Monte Carlo in approximate Bayesian computation

Uses Software

• EnKF

This page was built for publication: The ensemble Kalman filter is an ABC algorithm

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q693369)