Kalman Filtering: Theory and Practice Using MATLAB (2nd edition) [Repost]

In this practical introduction to Kalman filtering theory and applications, authors Mohinder Grewal and Angus Andrews draw upon their decades of experience to offer an in-depth examination of the subtleties, common problems, and limitations of estimation theory as it applies to real-world situations. They provide many illustrative examples drawn from an array of application areas including GPS-aided INS, the modeling of gyros and accelerometers, inertial navigation, and freeway traffic control. In addition, they share many hard-won lessons about, and original methods for, designing, implementing, validating, and improving Kalman filters, including techniques for:
Representing the problem in a mathematical model
Analyzing estimator performance as a function of model parameters
Implementing the mechanization equations in numerically stable algorithms
Assessing computational requirements
Testing the validity of results
Monitoring filter performance in operation
As the best way to understand and master a technology is to observe it in action, Kalman Filtering: Theory and Practice Using MATLAB®, Second Edition includes companion software in MATLAB®, providing users with an opportunity to experience firsthand the filter's workings and its limitations.
This updated and revised edition of Grewal and Andrews's classic guide is an indispensable working resource for engineers and computer scientists involved in the design of aerospace and aeronautical systems, global positioning and radar tracking systems, power systems, and biomedical instrumentation.