What is the difference between Kalman filter and extended Kalman filter?
Then, what does a Kalman filter do?
The Kalman filter is an efficient recursive filter that estimates the internal state of a linear dynamic system from a series of noisy measurements.
Also Know, why is it called unscented Kalman filter? The running joke is that the Unscented Kalman filter is called “Unscented” because the team that invented it felt the Extended filter's performance was “stinky” and prove a point they called the better performing one “Unscented”!
Similarly one may ask, what does EKF mean?
extended Kalman filter
Why is Kalman filter optimal?
Kalman filters combine two sources of information, the predicted states and noisy measurements, to produce optimal, unbiased estimates of system states. The filter is optimal in the sense that it minimizes the variance in the estimated states.