The Unscented Kalman Filter: Anything EKF can do I can do it better!

I have just completed my Term 2 of Udacity Self Driving Car Nanodegree. I wrote about Kalman Filter and Extended Kalman Filter. Today we will look at another member of Kalman Filter Family: The Unscented Kalman Filter. So, if you read my last two posts you would be knowing my colleague Larry by now. Summary: Kalman Filter: It is a tool to predict values using a bunch of mathematical equations under the assumptions that our data is in the form of Gaussian Distribution and we apply linear equations to that Gaussian distribution.