I found that for my system, the covariance matrix was growing like crazy (P_k~10^8*P_k-1) and was getting complex.
Try adjusting the alpha parameter. 10e-3 was way too small for my system, and 0.1 was the bare minimum that I could avoid the covariance issues. 0.15 seemed to work best.
in general, alpha is recommended to be between 10e-3 and 1.
I really have not understood this code yet. In my case, I also study on EKF for GPS data that I want to apply EKF to due with noise and missing data in GPS data. I have one GPS data columm with more than 2000 of length. Who could show me how to do it?
Thank you so much for your kinds