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I studied about Kalman filter(KF) for about a week. And I understand that Kalman filter(KF) is suitable for linear system and extended Kalman filter(EKF) can be used for nonlinear system. However, I wonder if extended Kalman filter(EKF) can be used for linear system. I understand that Kalman filter(KF) would be okay for the linear system. But I wonder if there's logical error of using the extended Kalman filter(EKF) for linear system.

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  • $\begingroup$ I'm trying to re-tag this as kalman-filters, but it's auto-creating a new tag kalman which is not required. I've asked a question on Meta to see if we can get a resolution. $\endgroup$ – Peter K. Apr 11 '16 at 12:54
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the word "extended" might suggest you that EKF is a generalization of the result developed for the linear case. Hence the EKF applied to a linear system reduces to the standard KF.

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  • $\begingroup$ Yes, the equations for an EKF, when applied to a linear system, should just drop out the standard Kalman filter. $\endgroup$ – Peter K. Apr 11 '16 at 12:42

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