A consistent interpretation of the stochastic version of the Ensemble Kalman Filter

• Published in: Quarterly journal of the Royal Meteorological Society Vol. 146; no. 731; pp. 2815 - 2825
• Main Author: Leeuwen, Peter Jan
• Format: Journal Article
• Language: English
• Published: Chichester, UK John Wiley & Sons, Ltd 01.07.2020; Wiley Subscription Services, Inc
• Subjects: Bayesian analysis; data assimilation; ensemble; Filters; Kalman filters; Methods; nonlinear; particle filter; synchronisation

Ensemble Kalman Filters are used extensively in all geoscience areas. Often a stochastic variant is used, in which each ensemble member is updated via the Kalman Filter equation with an extra perturbation in the innovation. These perturbations are essential for the correct ensemble spread in a stoch...