CT-ESKF: A General Framework of Covariance Transformation-Based Error-State Kalman Filter

Abstract: Invariant extended Kalman filter (InEKF) possesses excellent trajectory-independent property and better consistency compared to conventional extended Kalman filter (EKF). However, when applied to scenarios involving both global-frame and body-frame observations, InEKF may fail to preserve its trajectory-independent property. This work introduces the concept of equivalence between error states and covariance matrices among different error-state Kalman filters, and shows that although InEKF exhibits trajectory independence, its covariance propagation is actually equivalent to EKF. A covariance transformation-based error-state Kalman filter (CT-ESKF) framework is proposed that unifies various error-state Kalman filtering algorithms. The framework gives birth to novel filtering algorithms that demonstrate improved performance in integrated navigation systems that incorporate both global and body-frame observations. Experimental results show that the EKF with covariance transformation outperforms both InEKF and original EKF in a representative INS/GNSS/Odometer integrated navigation system.