particle filter

Thursday, February 22, 2018 - 8:30am - 9:10am
Matthias Katzfuss (Texas A & M University)
The ensemble Kalman filter (EnKF) is a computational technique for approximate inference on the state vector in spatio-temporal state-space models. It has been successfully used in many real-world nonlinear data-assimilation problems with very high dimensions, such as weather forecasting. However, the EnKF is most appropriate for additive Gaussian state-space models with linear observation equation and without unknown parameters.
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