A Generalized Unscented Transformation for Probability Distributions
Donald Ebeigbe, Tyrus Berry, Michael M. Norton, Andrew J. Whalen, Dan Simon, TIMOTHY D. SAUER, Steven J. Schiff · PubMed · 2021
+1 sigma points to accurately capture up to the diagonal components of the skewness and kurtosis tensors of most probability distributions. Constraints can be analytically enforced on the sigma points while guaranteeing at least second-order accuracy. The GenUT uses the same number of sigma points as the original unscented transform while also being applicable to non-Gaussian distributions, including the assimilation of observations in the modeling of infectious diseases such as coronavirus (SARS-CoV-2) causing COVID-19.