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A higher order correlation unscented Kalman filter
Sequential Parameter Estimation Nonlinear Systems Unscented Kalman Filter Continuous-discrete State Space Estimation of Uncorrelated States Volatility Estimation
2012/9/14
Many nonlinear extensions of the Kalman filter, e.g., the extended and the unscented Kalman filter, reduce the state densities to Gaussian densities. This approximation gives sufficient results in man...