Ensemble KF with Statistical Orthogonality

Dimitri Treebushny & Dimitri Treebushny
Correct propagation of uncertainty is of primary importance for a model when the assimilation of data is to be utilized. The most popular choice is a Monte Carlo approach within the Ensemble Kalman filter framework. In the filter independent realizations of the unofirm random noise should be generated each model time step. Additionally it has to be noted, that stochastic independency is one of the important assumptions in the classical Kalman filter derivation. The paper...
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