Comment by alex_be

Thanks for your feedback. I am thinking of writing a second volume with more advanced and less introductory topics, but I haven't decided yet. It is a serious commitment and it will take years to complete. If I take this decision, I will consider a chapter on LQG.

Small clarification: nonlinear Kalman filters are suboptimal. EKF relies on linear approximations, and UKF uses heuristic approximations.