Kalman Filter Link

• Greg Welch and Gary Bishop's Kalman Filter Page
  
• Taygeta Scientific's Kalman Filter Page
  
• Links to Kalman Filter Sites
  
• Kalman Filtering
  
• Kalman Filtering with State Equality Constraints
  
• Kalman Filtering for Fuzzy Dynamic Systems

Some References

* B. Anderson and J. Moore, "Optimal Filtering," Prentice-Hall, 1979.
* Gelb, "Applied Optimal Estimation," The MIT Press, 1974.
* G. Golub and C. Van Loan, "Matrix Computations," The Johns Hopkins University Press, 1989.
* R. Horn and C. Johnson, "Matrix Analysis," Cambridge University Press, 1985.
* H. Sorenson, "Kalman Filtering: Theory and Application," IEEE Press, 1985.