The Kalman filter (KF) is a state estimation algorithm that optimally combines system knowledge and measurements to minimize the mean squared error of the estimated states. While KF was initially designed for linear systems, numerous extensions of it, such as extended Kalman filter (EKF), unscented Kalman filter (UKF), cubature Kalman filter (CKF), etc., have been proposed for nonlinear systems over the last sixty years. Although different types of nonlinear KFs have different pros and cons, they all use the same framework of linear KF. Yet, according to our theoretical and empirical...