2 ms·

You've got nonlinear things happening?

• RossBencina 2y ago
  The state dynamics are linear but they are time varying and unknown. I am tracking the dynamics with a second Kalman filter (dual UKF like structure but mostly linear). Main "problem area" is covariance propagation, since the dynamics are defined by GRVs estimated by the parameter estimator but this uncertainty is not propagated between state/parameter estimators. It's a known shortcoming with standard (UKF) dual parameter+state estimation. I've yet to conclude whether it's a real or imaginary problem for my use-case.