[jefvader]

"In other words, the new best estimate is a prediction made from previous best estimate, plus a correction for known external influences.

And the new uncertainty is predicted from the old uncertainty, with some additional uncertainty from the environment."

Crystal clear - great article, thanks!

I also recommend Ramsey Faragher's lecture notes on teaching the Kalman Filter: http://www.cl.cam.ac.uk/~rmf25/papers/Understanding%20the%20...