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Unscented Kalman Filter Tutorial
The sigma points are chosen so that their mean and covariance to be exactly xa k−1 and P k−1. Each sigma point is then propagated through the nonlinearity yielding in the end a cloud of transformed points. The new estimated mean and covariance are then computed based on their statistics. This process is called unscented transfor-mation.
Download Unscented Kalman Filter Tutorial
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