# Kalman Filter initial Q values

I have a 6 state Kalman Filter (Unscented).

When I use a diagonal matrix only for Q (i.e only the diagonal has covariances), I get a "smooth" plot of estimate against actual.

If I use the entire Q matrix (i.e include all covariances) I get an estimate that oscillates around actual wildly.

Is it incorrect to just use diagonal?