1. A method of tracking a plurality of targets, the method comprising: for a first time-step, estimating a state of each target; at a second time-step, measuring values for a state of a target; for the second time-step, estimating a state of each target using the estimated target states for the first time-step; updating the estimated target states for the second time-step using the measured values; and performing an identity management process to estimate a probability that a particular state measurement corresponds to a particular target, wherein the identity management process comprises: providing a mixing matrix, an element of the mixing matrix being based on an overlap between the updated estimated target states of targets in an underlying state space of the estimated target states.