IDEAS home Printed from https://ideas.repec.org/a/bla/scjsta/v40y2013i4p868-885.html
   My bibliography  Save this article

Uncertainty Quantification in the Ensemble Kalman Filter

Author

Listed:
  • Jon Sætrom
  • Henning Omre

Abstract

No abstract is available for this item.

Suggested Citation

  • Jon Sætrom & Henning Omre, 2013. "Uncertainty Quantification in the Ensemble Kalman Filter," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 40(4), pages 868-885, December.
    • Handle: RePEc:bla:scjsta:v:40:y:2013:i:4:p:868-885
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1111/sjos.12039
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Furrer, Reinhard & Bengtsson, Thomas, 2007. "Estimation of high-dimensional prior and posterior covariance matrices in Kalman filter variants," Journal of Multivariate Analysis, Elsevier, vol. 98(2), pages 227-255, February.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Margrethe Kvale Loe & Håkon Tjelmeland, 2021. "Ensemble updating of binary state vectors by maximizing the expected number of unchanged components," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 48(4), pages 1148-1185, December.
    2. Ekerhovd, Nils-Arne & Kvamsdal, Sturla F., 2017. "Up the ante on bioeconomic submodels of marine food webs: A data assimilation-based approach," Ecological Economics, Elsevier, vol. 131(C), pages 250-261.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Lam, Clifford, 2008. "Estimation of large precision matrices through block penalization," LSE Research Online Documents on Economics 31543, London School of Economics and Political Science, LSE Library.
    2. Gautam Sabnis & Debdeep Pati & Anirban Bhattacharya, 2019. "Compressed Covariance Estimation with Automated Dimension Learning," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 81(2), pages 466-481, December.
    3. Frei, Marco & Künsch, Hans R., 2013. "Mixture ensemble Kalman filters," Computational Statistics & Data Analysis, Elsevier, vol. 58(C), pages 127-138.
    4. Xiaoping Zhou & Dmitry Malioutov & Frank J. Fabozzi & Svetlozar T. Rachev, 2014. "Smooth monotone covariance for elliptical distributions and applications in finance," Quantitative Finance, Taylor & Francis Journals, vol. 14(9), pages 1555-1571, September.
    5. Huang, Na & Fryzlewicz, Piotr, 2018. "NOVELIST estimator of large correlation and covariance matrices and their inverses," LSE Research Online Documents on Economics 89055, London School of Economics and Political Science, LSE Library.
    6. Zvi Bodie & Jérôme Detemple & Marcel Rindisbacher, 2009. "Life-Cycle Finance and the Design of Pension Plans," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 249-286, November.
    7. Konrad Furmańczyk, 2021. "Estimation of autocovariance matrices for high dimensional linear processes," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 84(4), pages 595-613, May.
    8. Fang, Qian & Yu, Chen & Weiping, Zhang, 2020. "Regularized estimation of precision matrix for high-dimensional multivariate longitudinal data," Journal of Multivariate Analysis, Elsevier, vol. 176(C).
    9. Yi, Feng & Zou, Hui, 2013. "SURE-tuned tapering estimation of large covariance matrices," Computational Statistics & Data Analysis, Elsevier, vol. 58(C), pages 339-351.
    10. Chen, Bei & Gel, Yulia R., 2010. "Autoregressive frequency detection using Regularized Least Squares," Journal of Multivariate Analysis, Elsevier, vol. 101(7), pages 1712-1727, August.
    11. Zhao, Junguang & Xu, Xingzhong, 2016. "A generalized likelihood ratio test for normal mean when p is greater than n," Computational Statistics & Data Analysis, Elsevier, vol. 99(C), pages 91-104.
    12. Yu, Philip L.H. & Wang, Xiaohang & Zhu, Yuanyuan, 2017. "High dimensional covariance matrix estimation by penalizing the matrix-logarithm transformed likelihood," Computational Statistics & Data Analysis, Elsevier, vol. 114(C), pages 12-25.
    13. Xue, Lingzhou & Zou, Hui, 2013. "Minimax optimal estimation of general bandable covariance matrices," Journal of Multivariate Analysis, Elsevier, vol. 116(C), pages 45-51.
    14. Deirdre Bloome & Daniel Schrage, 2021. "Covariance Regression Models for Studying Treatment Effect Heterogeneity Across One or More Outcomes: Understanding How Treatments Shape Inequality," Sociological Methods & Research, , vol. 50(3), pages 1034-1072, August.
    15. Farnè, Matteo & Montanari, Angela, 2020. "A large covariance matrix estimator under intermediate spikiness regimes," Journal of Multivariate Analysis, Elsevier, vol. 176(C).
    16. Na Huang & Piotr Fryzlewicz, 2019. "NOVELIST estimator of large correlation and covariance matrices and their inverses," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 28(3), pages 694-727, September.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:scjsta:v:40:y:2013:i:4:p:868-885. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0303-6898 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.