Abstract:The recent generalized unscented transform (GenUT) is formulated into a recursive Kalman filter framework. The GenUT constrains 2n + 1 sigma points and their weights to match the first four statistical moments of a probability distribution. The GenUT integrates well into the unscented Kalman filter framework, creating what we call the generalized unscented Kalman filter (GUKF). The measurement update equations for the skewness and kurtosis are derived within. Performance of the GUKF is compared to the UKF unde… Show more
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