Convergence of the Square Root Ensemble Kalman Filter in the Large Ensemble Limit
نویسندگان
چکیده
منابع مشابه
A deterministic formulation of the ensemble Kalman filter: an alternative to ensemble square root filters
The use of perturbed observations in the traditional ensemble Kalman filter (EnKF) results in a suboptimal filter behaviour, particularly for small ensembles. In this work, we propose a simple modification to the traditional EnKF that results in matching the analysed error covariance given by Kalman filter in cases when the correction is small; without perturbed observations. The proposed filte...
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ژورنال
عنوان ژورنال: SIAM/ASA Journal on Uncertainty Quantification
سال: 2015
ISSN: 2166-2525
DOI: 10.1137/140965363