Corrections to “Unscented Filtering and Nonlinear Estimation”
Simon Julier, Jeffrey K. Uhlmann · Proceedings of the IEEE · 2004
The state of the art in unscented techniques for nonlinear estimation is surveyed. The process noise covariance matrix used on each filter is not the same as the process noise used to drive the motion of the true projectile in the simulation. All the Jacobian matrices for the extended Kalman filter (EKF) are calculated numerically using a central difference scheme and a step size of 10-3. It is observed that EKF yields an inconsistent estimate, while the unscented Kalman filter yields a consistent estimate.