Python Kalman filtering and optimal estimation library. Implements Kalman filter, particle filter, Extended Kalman filter, Unscented Kalman filter, g-h (alpha-beta), least squares, H Infinity, smoothers, and more. Has companion book 'Kalman and Bayesian Filters in Python'.
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EKF: Jacobian Matrix for the state estimate error covariance matrix (P) prediction #286
https://github.com/rlabbe/filterpy/blob/3b51149ebcff0401ff1e10bf08ffca7b6bbc4a33/filterpy/kalman/EKF.py#L353-L371
Shouldn't the Jacobian matrix of the system's dynamics be used in the prediction of (P) (line 367), instead of the transition matrix (F)?