coordinates, while the observation model is in polar coordinates. There is no general analytic expression for the posterior PDF in nonlinear problems and only suboptimal estimation algorithms have been studied [1]. The extended Kalman filter (EKF) is the most popular approach for recursive nonlinear estimation [8], [9]. The main idea of the EKF is based on a first-order linearization of the model where the posterior PDF and the system and measurement noises are assumed to be Gaussian. The nonlinearity of the measurement model leads to non-Gaussian, multi-modal PDF of the system state, even when the system and the measurement noises are Gaussian. The Gaussian approximation of this multi-modal distribution leads to poor tracking performance. The unscented Kalman filter (UKF) approximates the PDF at the output of the nonlinear transformation using deterministic sampling [10]-[11]. The advantage of the UKF over the EKF stems from the fact that it does not involve approximation of the nonlinear model per se [12], [13]. The UKF provides an unbiased estimate, however its convergence is slow [13]. Many researchers addressed the problem of filtering in non-Gaussian models. One of the effective algorithms in the non-Gaussian problems is the Masreliez filter [14], [15] that employs a nonlinear "scorefunction", calculated from known a-priori noise statistics. The score-function is customized for the noise statistics and has to be redesigned for each application. The main disadvantage of this approach is that it involves a computationally expensive score function calculation [6]. In [16], the Masreliez filter was used in the target tracking problem with glint noise. Recently, a few new filtering approaches have been proposed for the problem of target tracking. One of them is the multiple modeling (MM) approach, in which the time-varying motion of the maneuvering target is described by multiple models [17]. In this approach, the non-Gaussian system is represented by a mixture of parallel Gaussian-distributed modes [8]. Using the Bayesian framework, the posterior PDF of the system state is obtained as a mixture of conditional estimates with a-priori probabilities of each mode [18]. Various filters are used for mode-conditioned state estimation. For example, the Gaussian sum filter (GSF), was implemented in [8], [19] using a bank of KFs. The EKF and Masreliez filters were used as mode-conditioned filters for the nonlinear problems of target tracking in [6], [16], [20]. The main drawback of the MM approach is the exponential growth of the number of the modes, and exponentially increasing number of mode-conditioned filters [18], [21]. Therefore, optimal algorithms, such as the GSF, are impractical. The direct approximation methods for target tracking in the presence of clutter with GMM distribution approximation were proposed in [22]-[28]. The joint probabilistic data association (JPDA) [18] and global nearest neighbor (GNN) [25] approximate the entire GMM by a single Gaussian, loosing important information contained in other mixt...