Tag: Ensemble Kalman Filter

R code for forecasting with the Ensemble Kalman Filter

In one of my previous blog posts I demonstrated how to implement an Ensemble Kalman Filter (EnKF) in R.
In this post I will demonstrate how to predict future system states and observations with the EnKF.

Ensemble Kalman Filter Prediction Interval Continue reading R code for forecasting with the Ensemble Kalman Filter

Posted on June 10, 2016June 11, 2016Tags Ensemble Kalman Filter, forecasting, nonlinear dynamic model, nonlinear Kalman filtering, state space model

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.

Continue reading R code for implementing an Ensemble Kalman Filter

Posted on June 8, 2016Tags Ensemble Kalman Filter, nonlinear dynamic model, nonlinear Kalman filtering, state space model