In one of my previous blog posts I showed how to implement and use the Extended Kalman Filter (EKF) in R.

This blog post will demonstrate how to implement the Unscented Kalman Filter (UKF) in R.

Similar to the Extended Kalman Filter (EKF), the Gauss-Hermite Kalman Filter (GHKF), the Particle Filter (PF), or the Ensemble Kalman Filter (EnKF), the UKF may be used when the dynamic system and/or measurement model are nonlinear.

Continue reading R code for implementing the Unscented Kalman Filter