Fyi the unscented Kalman filter is both easier to implement than the EKF, and also avoids several of the requirements that come along with the need to linearize (such as the differentiability requirement mentioned in the article). Also (to me, at least) the UKF is conceptually much cleaner, as the whole point is to place the approximation in the parameterization of the distribution, rather than on the function operating on that distribution.

https://groups.seas.harvard.edu/courses/cs281/papers/unscent...