A Nonparametric Ensemble Transform Method for Bayesian Inference
A Nonparametric Ensemble Transform Method for Bayesian Inference
Many applications, such as intermittent data assimilation, lead to a recursive application of Bayesian inference within a Monte Carlo context. Popular data assimilation algorithms include sequential Monte Carlo methods and ensemble Kalman filters (EnKFs). These methods differ in the way Bayesian inference is implemented. Sequential Monte Carlo methods rely on …