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I'm getting this warning from Matlab about Kalman Gain.

Warning: Matrix is close to singular or badly scaled.
         Results may be inaccurate. RCOND = 9.996841e-19. 

The problem is coming from high variance of the measurement model. My question is here Does EKF work with high noise in sensor?

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    $\begingroup$ It is hard to tell what went wrong here without more information. My guess is that inverting the innovation covariance matrix ($H \bar\Sigma_t H^T + Q_t$) fails due to $Q_t$ being degenerate. EKF does work well with high noise, as long as this noise is still Gaussian. Could you provide the values of your matrix $Q$ and maybe even $H \bar\Sigma_t H^T$ in this case? $\endgroup$
    – sebsch
    Commented Jun 23, 2014 at 14:18

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