It would if you had some past history to work with. Let’s say that you measured the same object awhile ago and you want to incorporate that prior information in

It would if you had some past history to work with. Let’s say that you measured the same object awhile ago and you want to incorporate that prior information in a principled way, while also letting the new measurements dominate if they give a very different result. If you encode that language into a linear Gaussian model, you get KF.