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The unscented Kalman filter (UKF) has recently been proposed for filtering noisy chaotic signals. Though computationally advantageous, the UKF has not been thoroughly analyzed in terms of its convergence property. In this paper, non-periodic oscillatory behavior of the UKF when used to filter chaotic signals is reported. We show both theoretically and experimentally that the gain of the UKF may oscillate aperiodically. More precisely, when applied to periodic signals generated from nonlineardoi:10.1109/iscas.2007.377916 dblp:conf/iscas/FengFT07 fatcat:vpabo5kzffgktcpbhk5icrjrpa