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math.ST2016
An Ensemble Kalman Filter Implementation Based on Modified Cholesky Decomposition for Inverse Covariance Matrix Estimation
Elias D. Nino, Adrian Sandu, Xinwei Deng
This paper develops an efficient implementation of the ensemble Kalman filter based on a modified Cholesky decomposition for inverse covariance matrix estimation. This implementati…
math.ST2015
Ensemble Kalman Filter Implementations Based on Covariance Matrix Estimation
Elias D. Nino-Ruiz, Adrian Sandu
This paper develops efficient ensemble Kalman filter (EnKF) implementations based on shrinkage covariance estimation. The forecast ensemble members at each step are used to estimat…