A paper I once found really illuminating on what a kalman filter was and how it related to a similar models is "A Unifying Review of Linear Gaussian Models", by

A paper I once found really illuminating on what a kalman filter was and how it related to a similar models is "A Unifying Review of Linear Gaussian Models", by Sam Roweis and Zoubin Ghahramani. It can be found here in pdf format: http://www.stat.columbia.edu/~liam/teaching/neurostat-fall20/papers/hmm/roweis-ghahramani-lds.pdf http://www.stat.columbia.edu/~liam/teaching/neurostat-fall20... Meta comment: I really appreciate that the author is taking the time to reply to people with queries (not this post). Thanks! It makes this community better.