I found this article invaluable for understanding the Kalman filter from a Bayesian perspective: Meinhold, Richard J., and Nozer D. Singpurwalla. 1983. "Unders

I found this article invaluable for understanding the Kalman filter from a Bayesian perspective: Meinhold, Richard J., and Nozer D. Singpurwalla. 1983. "Understanding the Kalman Filter." American Statistician 37 (May): 123–27.