An Ensemble Kalman-Particle Predictor-Corrector Filter for Non-Gaussian Data Assimilation

An Ensemble Kalman Filter (EnKF, the predictor) is used make a large change in the state, followed by a Particle Filer (PF, the corrector), which assigns importance weights to describe a non-Gaussian distribution. The importance weights are obtained by nonparametric density estimation. It is demonstrated on several numerical examples that the new predictor-corrector filter combines the advantages of the EnKF and the PF and that it is suitable for high dimensional states which are discretizations of solutions of partial differential equations.

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