Ensemble Kalman filter

Recursive 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, and it is now an important data assimilation component of ensemble forecasting. EnKF is related to the particle filter 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.

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