R code for implementing an Ensemble Kalman Filter

This blog post will demonstrate how to implement an Ensemble Kalman Filter (EnKF) in R.
Similar to filters such as the Extended Kalman Filter (EKF) and the Unscented Kalman Filter (UKF), the EnKF may be used for solving nonlinear filtering problems. However, the EnKF may be applied when solving nonlinear (and linear) filtering problems with a large number of states.

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