A note on the formulation of the Ensemble Adjustment Kalman Filter

06/04/2020

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by   Ian Grooms, et al.

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The ensemble adjustment Kalman filter (EAKF; Anderson, 2001) is one of the earliest ensemble square root filters. This note clarifies the correct formulation of the EAKF, which depends on a careful treatment of an eigen-decomposition of one of the matrices involved in the formulation.