4. Estimator for a nonlinear or non-Gaussian dynamic state model
The optimality of the Kalman filter depends on the linearity of the state-dynamic system. In practice, few systems are linear. Two solutions are therefore possible. The first is to approximate the system formed by the equations
(5)
and
(7)
by a linear state-dynamic system. By linearizing the state and measurement equations, the Kalman filter can be used...
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Estimator for a nonlinear or non-Gaussian dynamic state model