I am measuring position and velocity, both have some noise in them. Velocity is defined as derivative of position. The system is apparently non-linear so I need to use EKF.
Model:
\begin{align} X&=\begin{bmatrix}p\\v\end{bmatrix}\\ p_{k+1}&=A_0\sin\left(b_0k\right)+A_1\sin\left(b_1k\right)+A_2\sin\left(b_2k\right)\\ v_{k+1}&=A_0b_0\cos\left(b_0k\right)+A_1b_1\cos\left(b_1k\right)+A_2b_2\cos\left(b_2k\right)\\ \end{align}
Questions:
- I suppose this is a non-linear system. Am I right?
- If yes, I should use Extended Kalman filter. But how do I get $f$ and $h$ functions for my case (below)? The current state doesn't depend on previous state; except the $k$ (step) variable. \begin{align} x_k&=f\left(x_{k-1}\right)+w_k\\ z_k&=h\left(x_k\right)+v_k \end{align}