The ensemble Kalman filter is an ABC algorithm

DOI10.1007/S11222-011-9300-XzbMath1252.62094OpenAlexW2020868785MaRDI QIDQ693369

Tran Minh Ngoc, David J. Nott, Lucy Marshall

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

zbMATH Keywords

data assimilationapproximate Bayesian computationregression adjustment

Mathematics Subject Classification ID

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

Related Items (6)

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

Uses Software

• Unnamed Item

Cites Work

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

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