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I'd like to add Roger Labbe's free book "Kalman and Bayesian Filters in Python" to the mix. Along with Thrun (which he cited to point me at), this is the resource that finally drove it home for me.

https://github.com/rlabbe/Kalman-and-Bayesian-Filters-in-Pyt...

For people wondering about application, one of the popular recent uses is for sensor fusion in virtual reality.

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More on application: Historically, KFs are used extensively for sensor fusion in the aviation industry. Aircraft (and missiles) use internal gyroscopes(INUs) for navigation in association with GPS. The INUs are prone to drifting and corrected with Kalman Filter estimated real time drift errors. These error rates are computed while GPS information is available and continue to be corrected in the case of GPS loss.

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