Monte Carlo methods | Nonlinear filters | Linear filters | Bayesian statistics | Signal estimation

Ensemble Kalman filter

The ensemble Kalman filter (EnKF) is a recursive filter suitable for problems with a large number of variables, such as discretizations of partial differential equations in geophysical models. The EnKF originated as a version of the Kalman filter for large problems (essentially, the covariance matrix is replaced by the sample covariance), and it is now an important data assimilation component of ensemble forecasting. EnKF is related to the particle filter (in this context, a particle is the same thing as an ensemble member) but the EnKF makes the assumption that all probability distributions involved are Gaussian; when it is applicable, it is much more efficient than the particle filter. (Wikipedia).

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Recursive filter | Bayes' theorem | Monte Carlo method | Mean | Gradient | Probability density function | Tikhonov regularization | Inverse problem | Covariance matrix | Penalty method | Prior probability | Recursive Bayesian estimation | Numerical weather prediction | Cholesky decomposition | Posterior probability | Discretization | Likelihood function | Normal distribution | Particle filter | LAPACK | Standard deviation | Ensemble forecasting | Cauchy distribution | Density estimation | Kalman filter | Data assimilation | Vortex | Partial differential equation | Bayesian inference