Nonlinear extensions of the fading memory filter
Jonah Sacks, Harold W. Sorenson · IEEE Transactions on Automatic Control · 1971
The equations for a recursive extended Kalman filter with exponential age-weighting of data and dynamics are derived. A similar result is given for a second-order filter. It is seen that the filter equations are essentially of the same form as their unfaded counterparts. This technique offers promise in controlling the divergence problem that recursive filtering often encounters.