I hope to give a comprehensive and easy-use sigma point Kalman filter algorithms codes.
The algorithms are written by myself and collected from the Internet.
The algorithms include:
- Unscented Kalman Filter
- Cubature Kalman Filter
- Central Difference Kalman Filter
- And their Square-root versions.
Some good materials are gathered from "Non-linear filtering and parameter estimation" https://mycourses.aalto.fi/course/view.php?id=11330§ion=1 from Prof. Simo Särkkä.