 Switching Kalman filter

The Switching Kalman Filter (SKF) is an extension of the classical Kalman filter used to handle systems that exhibit switching behavior among multiple models or modes. It is particularly useful in situations where the system dynamics or measurements can switch between different states or regimes, leading to changes in the parameters governing the state estimation. ### Key Characteristics: 1. **Multiple Models**: The SKF operates under the assumption that the system can be described by multiple linear or nonlinear models.