Netzer Moriya 
Primer to Kalman Filtering [PDF ebook] 
A Physicist’s Perspective

Kalman filtering seems quite simple in concept, requires no command of, or special skills in abstract mathematics, and has been discussed in abundance during the last four decades. Nevertheless, we have often found that its technical complexity, combined withthe fact that it is usually presented as an iterative algorithm in a non-analytical manner, makes it sometimes difficult for the inexperienced professionals, to fully understand itsessence, benefits and drawbacks. This book focuses on the method of kalman filtering itself and the aspects directly related to it.