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Bayesian Estimation and Tracking: A Practical Guide by Anton J. Haug

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12.1 The Monte Carlo Kalman Filter

The MCKF process is summarized in Table 12.1.

Table 12.1 Multidimensional Spherical Simplex Kalman Filter Process.

Step 1. Filter initialization: Set img
Initialize img and img
img
Step 2. Generate samples img
State vector prediction: img j = 1, . . . , Ns
img
img
img
Step 3. Generate samples img
Observation-related prediction: img
Step ...

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