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This article proposes a technique for the selection of the /spl sigma/-set for a probability distribution approximation filter, i.e., the unscented filter. The /spl sigma/-set is selected so as to capture the higher order input statistics. The Taylor series expansion is used to illustrate that the 3/sup rd/ order and higher statistics of the nonlinear transformation can be reproduced while the unscented filter captures the statistics up to the 3/sup rd/ order only. Two benchmark problems are used to corroborate the proposed solution.
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Tenne et al. (2004) studied this question.
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