My preferred explanation for Kalman filters is sec. 1.5 of Maybeck's "Stochastic Models, Estimation, and Control". https://www.cs.unc.edu/~welch/kalman/media/p

My preferred explanation for Kalman filters is sec. 1.5 of Maybeck's "Stochastic Models, Estimation, and Control". https://www.cs.unc.edu/~welch/kalman/media/pdf/maybeck_ch1.pdf https://www.cs.unc.edu/~welch/kalman/media/pdf/maybeck_ch1.p...