Estimator for a nonlinear or non-Gaussian dynamic state model
Kalman filtering

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R1107 V1 Article

Estimator for a nonlinear or non-Gaussian dynamic state model
Kalman filtering

Author : Yves DELIGNON

Review date: February 17, 2026 | Lire en français

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4. Estimator for a nonlinear or non-Gaussian dynamic state model

4.1 Introduction

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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