New exact nonlinear filters: theory and applications
Fred E. Daum · Proceedings of SPIE, the International Society for Optical Engineering/Proceedings of SPIE · 1994
A new exact recursive filter is derived for nonlinear estimation problems. The new nonlinear theory includes the Kalman filter as a special case. This filter is practical to implement in real- time applications, and it has a computational complexity that is comparable to the Kalman filter. The measurements are made in discrete time, but the random process to be estimated evolves in continuous time.