8.3 An Alternate Derivation of the Multidimensional Finite Difference Covariance Prediction Equations
As in the one-dimensional case, this latter form for the predictive state covariance matrix is only partially of second order. It will be shown below that (8.37) and (8.49) are identical to the unscented Kalman filter.
Note that (8.43) can be written in the alternate form
In addition, (8.47) can be rewritten as
Because the finite-difference filter is almost identical to the unscented Kalman filter, discussed in the next chapter, we will only present the results for the DIFAR case study for the unscented Kalman filter.