The iterated Kalman filter update as a Gauss-Newton method
Bradley M. Bell, F.W. Cathey · IEEE Transactions on Automatic Control · 1993
It is shown that the iterated Kalman filter (IKF) update is an application of the Gauss-Newton method for approximating a maximum likelihood estimate. An example is presented in which the iterated Kalman filter update and maximum likelihood estimate show correct convergence behavior as the observation becomes more accurate, whereas the extended Kalman filter update does not.>