I. Uryupin

Beyond Divergence: Failure Modes of the Classical Extended Kalman Filter in a Unified Nonlinear Tracking Model

The extended Kalman filter (EKF) remains one of the most widely used tools for state estimation, tracking, forecasting, and data assimilation in nonlinear stochastic dynamical systems. This paper does not propose a replacement for the EKF or a modification of the filter itself. Instead, it investigates how the classica...