ng Nonlinear Transformations of 
Probability Distributions"</A>.
(If the above link is down,
try <a href="http://www.ece.ogi.edu/~ericwan/pubs.html">Eric Wan's</a>
page, who has done a lot of work on the UKF.)
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The key idea of the UKF is that it is easier to estimate a Gaussian distribution
from a set of points than to approximate an arbitrary non-linear
function.
We start with points that are plus/minus sigma away from the mean along
each dimension, and then pipe them through the nonlinearity, and
t