Kalman Filters

I found a very "friendly" introduction to Kalman Filters. Here it is:

Chapter 1 in Maybeck, Peter S. 1979. Stochastic Models, Estimation, and Control, Volume 1, Academic Press, Inc.

Here is the PDF:

http://www.cs.unc.edu/~welch/media/pdf/maybeck_ch1.pdf

Next, read this:

Sorenson, H. W. 1970. "Least-Squares estimation: from Gauss to Kalman," IEEE Spectrum, vol. 7, pp. 63-68, July 1970.

Here is the PDF:

http://www.cs.unc.edu/~welch/kalman/media/pdf/Sorenson1970.pdf