TITLE

Comparison of Ensemble Kalman Filters under Non-Gaussianity

AUTHOR(S)
Jing Lei; Bickel, Peter; Snyder, Chris
PUB. DATE
April 2010
SOURCE
Monthly Weather Review;Apr2010, Vol. 138 Issue 4, p1293
SOURCE TYPE
Academic Journal
DOC. TYPE
Article
ABSTRACT
Recently various versions of ensemble Kalman filters (EnKFs) have been proposed and studied. This work concerns, in a mathematically rigorous manner, the relative performance of two major versions of EnKF when the forecast ensemble is non-Gaussian. The approach is based on the stability of the filtering methods against small model violations, using the expected squared L2 distance as a measure of the deviation between the updated distributions. Analytical and experimental results suggest that both stochastic and deterministic EnKFs are sensitive to the violation of the Gaussian assumption, while the stochastic filter is relatively more stable than the deterministic filter under certain circumstances, especially when there are wild outliers. These results not only agree with previous empirical studies, but also suggest a natural choice of a free parameter in the square root Kalman filter algorithm.
ACCESSION #
52009010

 

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