My team is building a robot to navigate autonomously in an outdoor environment. We recently got a new integrated IMU/GPS sensor which apparently does some extended Kalman filtering on-chip. It gives pitch, roll, and yaw, north, east, and down velocities, and latitude and longitude.
However, we also have some encoders attached to our wheels, which provide linear and angular velocities. Before we got this new IMU/GPS sensor, we made our own EKF to estimate our state using the encoders and some other low-cost sensors. We want to use this new sensor's on-chip filter, but also incorporate our encoders into the mix.
Is there any problem with chaining the filters? What I mean is, we'd use the output of the IMU/GPS sensor's on-chip EKF as an update to our own EKF, just as we use the data read from the encoders as an update to our EKF. It seems reasonable to me, but I was wondering what is usually supposed to be done in this case.