ABSTRACT
The UKF gets its name from the unscented transformation, which is a method of calculating the mean and covariance of a random variable undergoing nonlinear transformation ( )wfy = . Although it is a derivative free approach, it does not really address the divergence problem. In essence the method constructs a set of sigma vectors and propagates them through the same non-linear function. The mean and covariance of the transformed vector are approximated as a weighted sum of the transformed sigma vectors and their covariance matrices.
