Interpolatory cubature Kalman filters

In this study, a novel class of interpolatory cubature Kalman filters (ICKFs) with arbitrary degrees of accuracy, including the third‐degree ICKF and the fifth‐degree ICKF, are proposed based on the interpolatory cubature rule. Existing cubature Kalman filter and unscented Kalman filter can both be deemed as special cases of the proposed ICKFs. Furthermore, the proposed fifth‐degree ICKF can achieve higher filtering accuracy than existing fifth‐degree methods by properly choosing free parameters, as illustrated in numerical simulation.