I'm wasn't sure whether I should post this question in the maths section or here, but since this technique is used a lot in aerospace I thought I'd try here first.

I've grasped the idea of an ordinary Kalman Filter and created a program that tracks a noisy signal. However when it comes to modifying the program to an EKF I'm at a total loss. I've spent weeks reading up on this and searching for examples, but I'm still unable to figure how to calculate the modified equations (especially the Jacobian terms). So I have decided to ask if anyone on these forums have any expertise in this area and could possibly help me out.

Can anyone suggest how I calculate the Jacobians A_k (sometimes described as F_k) and H_k for a simple case of tracking an x-coordinate over time? I'm assuming the noise has no gain.

Thanks,

Charles