I'm using an EKF and some gains are bigger than 1, is that possible? In the KF I understand that the typical values are [0-1], but in EKF??
I really appreciate your response. I was studying the equations for a simple system of position of a particle at constant velocity that I show in the figure, discretized with euler. In the Figure I show the equations to make the estimation for the three possible cases for this system, where we only measure x1, only x2 or both.
In the equations of the KF I see that for example I have expressions like xk1 + = (1-W11) * (xk1 -) + W11 * (z1), ie if W11 changes from zero (the filter uses only the prediction in this case to perform the estimation) to one (the system uses only the measurement in this case to make the estimation) and in the middle we have a mixture. That's why I thought that concept was unique. I do not understand when W should be greater than one. ("Mido" means meassure).