there's an unobserved state that changes over time according to relatively simple rules, and you get indirect information about that state every so often. In Ka

there's an unobserved state that changes over time according to relatively simple rules, and you get indirect information about that state every so often. In Kalman filters, you assume the unobserved state is Gaussian-ish and it moves continuously according to linear-ish dynamics (depending on which flavor of Kalman filter is being used)