Understanding the Basis of the Kalman Filter Via a Simple and Intuitive Derivation [Lecture Notes]
Ramsey M. Faragher · IEEE Signal Processing Magazine · 2012
This article provides a simple and intuitive derivation of the Kalman filter, with the aim of teaching this useful tool to students from disciplines that do not require a strong mathematical background. The most complicated level of mathematics required to understand this derivation is the ability to multiply two Gaussian functions together and reduce the result to a compact form.