Adaptive error covariances estimation methods for ensemble Kalman filters

DOI10.1016/J.JCP.2015.03.061zbMath1349.62333arXiv1411.1308OpenAlexW2040614019MaRDI QIDQ350039

John Harlim, Yicun Zhen

Publication date: 5 December 2016

Published in: Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1411.1308

zbMATH Keywords

ensemble Kalman filteradaptive covariance estimationQR estimation method

Mathematics Subject Classification ID

Numerical solutions to stochastic differential and integral equations (65C30) Analysis of variance and covariance (ANOVA) (62J10)

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Cites Work

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• An efficient algorithm for estimating noise covariances in distributed systems
• Nonlinear stability and statistical mechanics of flow over topography
• Linear theory for filtering nonlinear multiscale systems with model error
• Approaches to adaptive filtering

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