Particle Kalman Filtering: A Nonlinear Bayesian Framework for Ensemble Kalman Filters*

  title={Particle Kalman Filtering: A Nonlinear Bayesian Framework for Ensemble Kalman Filters*},
  author={I. Hoteit and X. Luo and D. Pham},
  journal={Monthly Weather Review},
  • I. Hoteit, X. Luo, D. Pham
  • Published 2012
  • Physics, Mathematics
  • Monthly Weather Review
  • AbstractThis paper investigates an approximation scheme of the optimal nonlinear Bayesian filter based on the Gaussian mixture representation of the state probability distribution function. The resulting filter is similar to the particle filter, but is different from it in that the standard weight-type correction in the particle filter is complemented by the Kalman-type correction with the associated covariance matrices in the Gaussian mixture. The authors show that this filter is an algorithm… CONTINUE READING

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