Large sample asymptotics for the ensemble Kalman filter

By F. Gland, Valérie Monbet, V. Tran. 2009

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Error Bounds and Normalising Constants for Sequential Monte Carlo Samplers in High Dimensions (2014, methodology): “Due to the link between ABC and EnKF [25] and the bias of the EnKF [23], we conjecture that the EnKF will be subject to a similar behavior as for ABC (for non-linear models).”
Data assimilation in the geosciences: An overview of methods, issues, and perspectives (2017, background): “∞ has been studied by Le Gland, Monbet, and Tran (2009): the rate of such convergence was proven to be 1= ffiffiffiffi N p , and in the linear dynamics and observation models case, the solution approaches that of the KF.”
Data Assimilation: A Mathematical Introduction (2015, unknown): “There has been some analysis of the EnKF in the large sample limit; see for example [73, 72, 85].”