[albinofrenchy]

I've been considering writing up something for extended kalman filters like this. Kalman filters are great but in my experience extremely limited without the non-linear extensions which make them useful in a much wider variety of problems.

[marton78]

Your should have a look at sigma point Kalman Filters.

[gugagore]

Those are called unscented Kalman filters, because they don’t stink…