Original paper

An ensemble Kalman-Bucy filter for continuous data assimilation

Bergemann, Kay; Reich, Sebastian

Meteorologische Zeitschrift Vol. 21 No. 3 (2012), p. 213 - 219

published: Jun 1, 2012

DOI: 10.1127/0941-2948/2012/0307

BibTeX file

ArtNo. ESP025012103002, Price: 29.00 €

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The ensemble Kalman filter has emerged as a promising filter algorithm for nonlinear differential equations subject to intermittent observations. In this paper, we extend the well-known Kalman-Bucy filter for linear differential equations subject to continous observations to the ensemble setting and nonlinear differential equations. The proposed filter is called the ensemble Kalman-Bucy filter and its performance is demonstrated for a simple mechanical model (Langevin dynamics) subject to incremental observations of its velocity.