'Canefreak is dead on. In simplest terms, it's essentially a filter that involves a complex equation. The ensemble Kalman filter (EnKF) is a recursive filter suitable for problems with a large number of variables, such as discretizations of partial differential equations in geophysical models. The EnKF originated as a version of the Kalman filter for large problems (essentially, the covariance matrix is replaced by the sample covariance), and it is now an important data assimilation component of ensemble forecasting. EnKF is related to the particle filter (in this context, a particle is the same thing as an ensemble member) but the EnKF makes the assumption that all probability distributions involved are Gaussian.
For entertainment purposes, here is an excerpt of the 'basic' equation:

The first sum is the posterior mean, and the second sum, in view of the independence, has a variance:

On a side note, you know it's slow going in the tropics when we're referencing the EnKF
