Some Relations Between Extended and Unscented Kalman Filters

@article{Gustafsson2012SomeRB,
  title={Some Relations Between Extended and Unscented Kalman Filters},
  author={Fredrik K. Gustafsson and Gustaf Hendeby},
  journal={IEEE Transactions on Signal Processing},
  year={2012},
  volume={60},
  pages={545-555}
}
The unscented Kalman filter (UKF) has become a popular alternative to the extended Kalman filter (EKF) during the last decade. UKF propagates the so called sigma points by function evaluations using the unscented transformation (UT), and this is at first glance very different from the standard EKF algorithm which is based on a linearized model. The claimed advantages with UKF are that it propagates the first two moments of the posterior distribution and that it does not require gradients of the… 

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