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.
Meinhold, Richard J., and Nozer D. Singpurwalla. 1983. "Understanding the Kalman Filter." American Statistician 37 (May): 123–27.
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