Model Most physical systems are represented as continuous-time models while discrete-time measurements are frequently taken for state estimation via a digital processor.
Therefore, the system model and measurement model are given by The update equations are identical to those of discrete-time extended Kalman filter.
At each time step, the Jacobian is evaluated with current predicted states.
These matrices can be used in the Kalman filter equations.
Another problem with the extended Kalman filter is that the estimated covariance matrix tends to underestimate the true covariance matrix and therefore risks becoming inconsistent in the statistical sense without the addition of "stabilising noise" .