Ooce Note Series on Global Modeling and Data Assimilation Estimation Theory and Foundations of Atmospheric Data Assimilation

iii The following is a collection of notes geared to provide an elementary introduction to the topic of data assimilation. The topic is presented with the point of view of estimation theory. As such, the rst half of these notes is devoted to presenting basic concepts of probability theory, stochastic processes, estimation and ltering. The second half of these notes gives an introduction to atmospheric data assimilation and related problems. Illustrations of advanced assimilation procedures are given by discussing results from the application of Kalman ltering and smoothing to a linear shallow-water model. Classes based on earlier versions of these notes have been presented at the Insti

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