This article is fantastic.
For those who have some familiarity with Python, I found this to be a great resource for Kalman Filtering: https://github.com/rlabbe/Kalman-and-Bayesian-Filters-in-Pyt...
For those who have some familiarity with Python, I found this to be a great resource for Kalman Filtering: https://github.com/rlabbe/Kalman-and-Bayesian-Filters-in-Pyt...
It seems to me that there is no shortcuts to grokking the KF than going through simpler filters/Bayesian update algorithms.
Another resource I personally enjoy is Student Dave's lectures on YouTube. He's really entertaining and shows both pen-and-paper examples and Matlab simulations.