Add GHKF plots to ekf_vs_ukf.ipynb

[petergchang]

Description

Added GHKF plots to ekf_vs_ukf.ipynb.

Figure Number

book2 - 8.12

Figures

Issue

1082

Checklist

• [x] Performed a self-review of the code
• [x] Tested on Google Colab.

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[murphyk]

Can you please make helper functions

(m,S,C) = ukf.transform(non_linear_transform, mean_pre, cov_pre)
(m,S,C) = ghkf.transform(non_linear_transform, mean_pre, cov_pre)

that wraps up some of the low level logic (I think you can reuse https://github.com/probml/ssm-jax/blob/main/ssm_jax/ggssm/containers.py#L61). Something like this:

I realize that you may also want to return the transformed sigma points, for plotting, so these could be optional return args.