For a robotics oriented, part theory part hands-on learning material on Kalman Filtering, I would suggest The Robot Mapping course from Cyrill Stachniss:

http://ais.informatik.uni-freiburg.de/teaching/ws22/mapping/ http://www.ipb.uni-bonn.de/people/cyrill-stachniss/

There are YouTube videos from 2013 here: https://www.youtube.com/playlist?list=PLgnQpQtFTOGQrZ4O5QzbI...

The course itself is mostly based on the Probabilistic Robotics book from Sebastian Thrun et al: https://mitpress.mit.edu/9780262201629/probabilistic-robotic...