Book on data assimilation by Geir Evensen

The EnKF is a sophisticated sequental data assimilation method. It applies an ensemble of model states to represent the error statistics of the model estimate, it applies ensemble integrations to predict the error statistics forward in time, and it uses an analysis scheme which operates directly on the ensemble of model states when observations are assimilated. The EnKF has proven to efficiently handle strongly nonlinear dynamics and large state spaces and is now used in realistic applications with primitive equation models for the ocean and atmosphere.

http://enkf.nersc.no/