2 papers
stat.ME2020
A Stochastic Covariance Shrinkage Approach in Ensemble Transform Kalman Filtering
Andrey A Popov, Adrian Sandu, Elias D. Nino-Ruiz +1
The Ensemble Kalman Filters (EnKF) employ a Monte-Carlo approach to represent covariance information, and are affected by sampling errors in operational settings where the number o…
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…