> Also when this person says the subscript "denotes the order of the measurement" I'm trying to figure out what kind of order he's talking about. I guess that's

> Also when this person says the subscript "denotes the order of the measurement" I'm trying to figure out what kind of order he's talking about. I guess that's the index? It's been a while since I did kalman filters:-p The order referred to is the index-in-time that a value correspond to. Eg, x_3 would be the state at the third time step. I think their subscript “p” stands for prediction. x_p at time 3 is the state we expect at time 4. But then when time 4 comes around, we incorporate new measurements and calculate x_4 including that new information. Just to be explicit, this x_4 will be different from the x_p we calculated at time 3, as our prediction is always a bit incorrect