Kalman Filtering pp 115-137 | Cite as

# Extended Kalman Filter and System Identification

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## Abstract

The Kalman filtering process has been designed to estimate the state vector in a linear model. If the model turns out to be nonlinear, a linearization procedure is usually performed in deriving the filtering equations. We will consider a real-time linear Taylor approximation of the system function at the previous state estimate and that of the observation function at the corresponding predicted position.

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