Saved in:
| Main Author: | |
|---|---|
| Format: | Preprint |
| Published: |
2025
|
| Subjects: | |
| Online Access: | https://arxiv.org/abs/2502.03048 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Table of Contents:
- The Ensemble Kalman Filter (EnKF) is a widely used method for data assimilation in high-dimensional systems, with an ensemble update step equivalent to an empirical version of the Matheron update popular in Gaussian process regression -- a connection that links half a century of data-assimilation engineering to modern path-wise GP sampling. This paper provides a compact introduction to this simple but under-exploited connection, with necessary definitions accessible to all fields involved. Source code is available at https://github.com/danmackinlay/paper_matheron_equals_enkf .