Section: New Results

Sequential data assimilation: ensemble Kalman filter vs. particle filter

Participants : François Le Gland, Valérie Monbet.

The contribution has been to prove (by induction) the asymptotic normality of the estimation error, i.e. to prove a central limit theorem for the ensemble Kalman filter. Explicit expression of the asymptotic variance has been obtained for linear Gaussian systems (where the exact solution is known, and where EnKF is unbiased). This expression has been compared with explicit expressions of the asymptotic variance for two popular particle filters: the bootstrap particle filter and the so–called optimal particle filter, that uses the next observation in the importance distribution.