General two-stage extended Kalman filters

A general two-stage extended Kalman filter (GTSEKF), which extends the linear general two-stage Kalman filter to nonlinear systems, is further proposed. A new nonlinear two-stage transformation is introduced to facilitate achieving this extension. As in the linear one, the GTSEKF is derived mainly by applying the nonlinear two-stage transformation to the well-known extended Kalman filter (EKF), and is shown to be equivalent to the EKF with a decoupled computing structure. A nonlinear filter for estimating constant parameters in dynamic systems is presented to illustrate one application of the proposed GTSEKF. A literature example is also given to demonstrate the correctness and usefulness of the proposed results.