hen fit a Gaussian to the transformed points. 
(No need to compute Jacobians, unlike the EKF!)

<p>
For systems with non-Gaussian noise, I recommend
<a href="http://www.cs.berkeley.edu/~jfgf/smc/">Particle
filtering</a> (PF), which is a popular sequential Monte Carlo technique.

<p>
The EKF can be used as a proposal distribution for a PF.
This method is better than either one alone.
See <a href="http://www.cs.berkeley.edu/~jfgf/upf.ps.gz">The Unscented Particle Filter</a>,
by R van der Merwe, A Doucet, JFG 