> Generally, I get let down. This time is no exception. This is why I don't even bother to read through such tutorials. To understand Kalman filter one first n

> Generally, I get let down. This time is no exception. This is why I don't even bother to read through such tutorials. To understand Kalman filter one first need to understand basics of probability and then the importance of Gaussian distribution (Kalman filter mathematical derivation assumes that all the probab distributions involved are Gaussian). Then one notices that Gaussian distribution is uniquely defined when you know it first and seconds moments (yes, you cannot dance around introducing moments at some point). And then pretty nasty math follows :-) Kalman filter is not an easy thing. Rudolf Kalman claimed in one of the interviews that without his filter American landing on the Moon would not be possible.