Comparison of ensemble Kalman filters under non-Gaussianity

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.

To Access Resource:

Questions? Email Resource Support Contact:

  • opensky@ucar.edu
    UCAR/NCAR - Library

Resource Type publication
Temporal Range Begin N/A
Temporal Range End N/A
Temporal Resolution N/A
Bounding Box North Lat N/A
Bounding Box South Lat N/A
Bounding Box West Long N/A
Bounding Box East Long N/A
Spatial Representation N/A
Spatial Resolution N/A
Related Links N/A
Additional Information N/A
Resource Format PDF
Standardized Resource Format PDF
Asset Size N/A
Legal Constraints

Copyright 2010 American Meteorological Society (AMS). Permission to use figures, tables, and brief excerpts from this work in scientific and educational works is hereby granted provided that the source is acknowledged. Any use of material in this work that is determined to be "fair use" under Section 107 or that satisfies the conditions specified in Section 108 of the U.S. Copyright Law (17 USC, as revised by P.L. 94-553) does not require the Society's permission. Republication, systematic reproduction, posting in electronic form on servers, or other uses of this material, except as exempted by the above statements, requires written permission or license from the AMS. Additional details are provided in the AMS Copyright Policies, available from the AMS at 617-227-2425 or amspubs@ametsoc.org. Permission to place a copy of this work on this server has been provided by the AMS. The AMS does not guarantee that the copy provided here is an accurate copy of the published work.
Access Constraints None
Software Implementation Language N/A

Resource Support Name N/A
Resource Support Email opensky@ucar.edu
Resource Support Organization UCAR/NCAR - Library
Distributor N/A
Metadata Contact Name N/A
Metadata Contact Email opensky@ucar.edu
Metadata Contact Organization UCAR/NCAR - Library

Author Lei, J.
Bickel, P.
Snyder, Chris
Publisher UCAR/NCAR - Library
Publication Date 2010-04-01T00:00:00
Digital Object Identifier (DOI) Not Assigned
Alternate Identifier N/A
Resource Version N/A
Topic Category geoscientificInformation
Progress N/A
Metadata Date 2025-07-17T15:26:44.892504
Metadata Record Identifier edu.ucar.opensky::articles:17038
Metadata Language eng; USA
Suggested Citation Lei, J., Bickel, P., Snyder, Chris. (2010). Comparison of ensemble Kalman filters under non-Gaussianity. UCAR/NCAR - Library. https://n2t.org/ark:/85065/d71837r3. Accessed 30 July 2025.

Harvest Source