Fourier-Hermite Kalman Filter

  title={Fourier-Hermite Kalman Filter},
  author={Juha Sarmavuori and Simo S{\"a}rkk{\"a}},
  journal={IEEE Transactions on Automatic Control},
In this note, we shall present a new class of Gaussian filters called Fourier-Hermite Kalman filters. Fourier-Hermite Kalman filters are based on expansion of nonlinear functions with the Fourier-Hermite series in same way as the traditional extended Kalman filter is based on the Taylor series. The first order truncation of the Fourier-Hermite series gives the previously known statistically linearized filter. 
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