I really like "Linear Algebra and Its Applications" by Gilbert Strang. It is not a textbook, the style is conversational, and he really tries to help you learn.

I really like "Linear Algebra and Its Applications" by Gilbert Strang. It is not a textbook, the style is conversational, and he really tries to help you learn. It is one of rare math books that includes reason, context, application, and history without sacrificing rigor. The book also focuses on numerical algorithms aspects more than some popular textbooks, which may be helpful to understanding Kalman filter.