Kalman-and-Bayesian-Filters-in-Python
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10.3 Choosing Sigma Points
"Σ = Σi(w_c_i * ( f(X)_i - μ ) * ( f(X)_i - μ )t" -> "Σ = Σi(w_c_i * ( f(X_i) - μ ) * ( f(X_i) - μ )t"