On the Error Covariance Correction Step of an ESKF Attitude Update
The attitude states of an error-state Kalman filter (ESKF) behave differently than most other states in the system due to their multiplicative (rather than additive) nature. One way in which they differ is an error covariance correction step after an ESKF error reset, which is not required for, for example, position and velocity states. This covariance correction step is not intuitive, and it has only been recently derived for coordinate transform matrices. The author of this memo, however, found the provided derivation in [1] confusing due to a lack of clarity surrounding the invoked reference frames, and clarity is required as there are at least 4 different ways to parameterize small-angle attitude errors in an ESKF. Furthermore, while reproducing the work, the author of this memo found a more straightforward derivation that provides additional insight into the correction step. This memo offers a derivation of the attitude error covariance correction step of an ESKF, which pays specific attention to the coordinate reference frames.