Could someone please explain what an extended Kalman Filter would do with data from a 6DOF IMU (ax, ay, az and pitch, roll, yaw)?

I am not an expert in the field of Digital Signal Processing (though it does intrigue me) But best I can figure, the Kalman Filter is used to remove noise from a predictable linear system. The Extended Kalman Filter allows denoising of nonlinear, but predictable systems. An example of a Kalman Filter is a Phase Locked Loop.

Hope this helps.

I'm using 'Visual Kalman Filter'. But I'm not sure that it will help you. luckhan.com/kalman-filter-design.htm.

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