[upstream PR #261] Integration blocked: add multi extended kalman filter that can be used for sensor fusion

[GeorgePearse]

Upstream PR: rlabbe/filterpy#261
Issue Type: Cherry-pick failed: fatal: bad object dec677e05356a3105b3b49a22fcfd2bac61a4acf

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Problem

Error: Cherry-pick failed: fatal: bad object dec677e05356a3105b3b49a22fcfd2bac61a4acf

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Original Description

Hello @rlabbe,

I was using your EKF implementation for sensor fusion and slightly adapted the original implementation such that it can be used for sensor fusion, would you be interested in adding this to the library? See pull request below. If yes I am happy to add an example on how to use this.

Cheers, Niclas