A few months ago I was trying to wrap my head around Kalman filters and this was the clearest explanation I found anywhere: http://www.cs.unc.edu/~welch/kalman

A few months ago I was trying to wrap my head around Kalman filters and this was the clearest explanation I found anywhere: http://www.cs.unc.edu/~welch/kalman/media/pdf/maybeck_ch1.pdf http://www.cs.unc.edu/~welch/kalman/media/pdf/maybeck_ch1.pd...