Where KFs finally clicked for me was in deriving the recursive form of good old fashioned linear regression. You can do linear regression a data point at a time

Where KFs finally clicked for me was in deriving the recursive form of good old fashioned linear regression. You can do linear regression a data point at a time, or a batch at a time, and while I can't remember if it works out to exactly the same thing (because of the recursive state), it works out to essentially the same. Dynamic bayesian networks are a superclass of KFs and they're a great thing to have in your tool kit if you work with data.