The Higher Order Unscented Filter
Tenne, D., & Singh, T.
2003 American Control Conference
This article proposes a technique for the selection of the sigma-set for a probability distribution approximation filter, i.e. the unscented filter. The sigma-set is selected so as to capture the higher order input statistics. The Taylor series expansion is used to illustrate that the 3rd order and higher statistics of the nonlinear trans- formation can be reproduced while the unscented filter captures the statistics up to the 3rd order only. Two benchmark problems are used to corroborate the proposed solution.