Ito-Taylor Expansion Moments for Continuous-Time State Propagation
NAVAL RESEARCH LAB WASHINGTON DC WASHINGTON United States
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The state-prediction step of the continuous-discrete cubature Kalman filter by Arasaratnam, Haykin, and Hurd was derived using the mean andcovariance matrix of an order-1.5 strong It-Taylor expansion for autonomous additive noise. In this note, we provide the mean and covariancematrix of a variety of strong and weak It-Taylor expansions, enabling the implementation of nine continuous-discrete cubature Kalman filtervariants.
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