Stability of the Spectral EnKF under nested covariance estimators

0482816 - ÚI 2018 SE eng C - Conference Paper (international conference)
Turčičová, M. - Mandel, J. - Eben, Kryštof
Stability of the Spectral EnKF under nested covariance estimators.
Proceedings of the 20th European Young Statisticians Meeting. Uppsala Universitet, 2017 - (Wiklund, T.), s. 137-142
[European Young Statisticians Meeting /20./. Uppsala (SE), 14.08.2017-18.08.2017]
Institutional support: RVO:67985807
Keywords : nested covariance model * maximum likelihood * error of EnKF

In the case of traditional Ensemble Kalman Filter (EnKF), it is known that the filter error does not grow faster than exponentially for a fixed ensemble size. The question posted in this contribution is whether the upper bound for the filter error can be improved by using an improved covariance estimator that comes from the right parameter subspace and has smaller asymptotic variance. Its effect on Spectral EnKF is explored by a simulation.

Permanent Link: http://hdl.handle.net/11104/0278215