Extended Kalman filter is an extension to the non-linear version of Kalman filter, which linearizes an estimate of current mean and covariance (https://en.wikipedia.org/wiki/Extended_Kalman_filter). Kalman filter uses prior knowledge of the system to make predictions of a state of the system and fuses with measurements (often not very reliable) of the state to accurately estimate the state of a system. Below is the schematic of Extended Kalman Filters:
Below are Kalman filter Equations:
