What is the consequence on the uncertainty of our estimate when applying the standard kalman filter to nonlinear systems?
If we are unaware of the functional form of these non linear systems how do we proceed? In an extended Kalman filter, do we not have to know the functional form of the the system? Where does the UKF fit into this?
If we use a monte carlo approach, would this create less uncertainty that if we were to use a kalman filer if the underlying observed system was non linear?
Or is this like comparing apple’s and oranges.
Would love some help!