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; and measuring and updating a value of an identity parameter for the target, wherein the identity parameter at least partially distinguishes the target from one or more of the other targets; 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 for the states of the targets; 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; and wherein the providing of the mixing matrix comprises determining a value for an element of the missing matrix as a function of the state of the particular target at the second time-step, and a set of all state values and identity parameter values measured at time steps up to and including the second time-step.