Mixture ensemble Kalman filters

Computational Statistics and Data Analysis

Volumn 58, Issue 1, 2013, Pages 127-138

  Frei, Marco ^a   Künsch, Hans R ^a  

^a ETH ZURICH   (Switzerland)

Author keywords

Data assimilation; Ensemble Kalman filter; Fuzzy clustering; Gaussian mixtures; Nonlinear filtering

Indexed keywords

ALGORITHMIC FRAMEWORK; DATA ASSIMILATION; ENSEMBLE KALMAN FILTER; FUZZY CLUSTERING TECHNIQUES; GAUSSIAN MIXTURES; GAUSSIANS; HIGH-DIMENSIONAL; STRONG CONSISTENCY;

FUZZY CLUSTERING; NONLINEAR FILTERING;

KALMAN FILTERS;

EID: 84869082502     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2011.04.013     Document Type: Article

References (28)

1. D.L. Alspach, and H.W. Sorenson Nonlinear Bayesian estimation using Gaussian sum approximations IEEE Transactions on Automatic Control 17 1972 439 448
2. T. Bengtsson, C. Snyder, and D. Nychka Toward a nonlinear ensemble filter for high-dimensional systems Journal of Geophysical Research 108 2003 8775
3. P. Bickel, B. Li, and T. Bengtsson Sharp failure rates for the bootstrap particle filter in high dimensions IMS Collections Pushing the Limits of Contemporary Statistics: Contributions in Honor of Jayanta K. Ghosh vol. 3 2008 318 329
4. P.J. Bickel, and E. Levina Regularized estimation of large covariance matrices Annals of Statistics 36 1 2008 199 227
5. M. Bocquet, C.A. Pires, and L. Wu Beyond Gaussian statistical modeling in geophysical data assimilation Monthly Weather Review 138 2010 2997 3023
6. G. Burgers, P.J. van Leeuwen, and G. Evensen Analysis scheme in the ensemble Kalman filter Monthly Weather Review 126 1998 1719 1724
7. G. Celeux, and G. Govaert A classification EM algorithm and two stochastic versions Computational Statistics and Data Analysis 14 1992 315 332
8. G. Celeux, and G. Govaert Gaussian parsimonious clustering models Pattern Recognition 28 1995 781 793
9. A. Doucet, S. Godsill, and C. Andrieu On sequential Monte Carlo sampling methods for Bayesian filtering Statistics and Computing 10 2000 197 208
10. L. Dovera, and E. Della Rossa Multimodal ensemble Kalman filtering using Gaussian mixture models Computational Geosciences 15 2 2011 307 323
11. P.G. Drazin, and R.S. Johnson Solitons: An Introduction 1989 Cambridge University Press
12. G. Evensen Sequential data assimilation with a nonlinear quasi-geostrophic model using Monte Carlo methods to forecast error statistics Journal of Geophysical Research 99 1994 10143 10162
13. G. Evensen Data Assimilation 2007 Springer
14. B.S. Everitt, S. Landau, and M. Leese Cluster Analysis 4th ed. 2009 Wiley
15. R. Furrer, and T. Bengtsson Estimation of high-dimensional prior and posterior covariance matrices in Kalman filter variants Journal of Multivariate Analysis 98 2007 227 255
16. G. Gaspari, and S.E. Cohn Construction of correlation functions in two and three dimensions Quarterly Journal of the Royal Meteorological Society 125 554 1999 723 757
17. T. Gneiting, F. Balabdaoui, and A.E. Raftery Probabilistic forecasts, calibration and sharpness Journal of the Royal Statistical Society. Series B 69 2007 243 268
18. N.J. Gordon, D.J. Salmond, and A.F.M. Smith Novel approach to nonlinear/non-Gaussian Bayesian state estimation IEE Proceedings 140 1993 107 113
19. P.L. Houtekamer, and H.L. Mitchell A sequential ensemble Kalman filter for atmospheric data assimilation Monthly Weather Review 129 1 2001 123 137
20. H.R. Künsch Recursive Monte Carlo filters: algorithms and theoretical analysis Annals of Statistics 33 5 2005 1983 2021
21. D.M. Livings, S.L. Dance, and N.K. Nichols Unbiased ensemble square root filters Physica D 237 2008 1021 1028
22. E. Ott, B.R. Hunt, I. Szunyogh, A.V. Zimin, E. Kostelich, M. Corazza, E. Kalnay, D.J. Patil, and J.A. York A local ensemble Kalman filter for atmospheric data assimilation Tellus A 56 2004 415 428
23. M.K. Pitt, and N. Shephard Filtering via simulation: auxiliary particle filters Journal of the American Statistical Association 94 446 1999 590 599
24. R. Redner Note on the consistency of the maximum likelihood estimate for nonidentifiable distributions Annals of Statistics 9 1 1981 225 228
25. K.W. Smith Cluster ensemble Kalman filter Tellus A 59 2007 749 757
26. A.Y. Sun, A.P. Morris, and S. Mohanty Sequential updating of multimodal hydrogeologic parameter fields using localization and clustering techniques Water Resources Research 45 2009
27. J. Valente de Oliveira, and W. Pedrycz Advances in Fuzzy Clustering and its Applications 2007 Wiley Chichester
28. Y. Zhou, D. McLaughlin, D. Entekhabi, and G.-H.C. Ng An ensemble multiscale filter for large nonlinear data assimilation problems Monthly Weather Review 136 2008 678 698