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Michel van Biezen has an excellent video series on Kalman filters:

https://www.youtube.com/watch?v=CaCcOwJPytQ

He walks you though all the way from the rationale, to a simple algebraic example, to the full blown Linear Algebraic Matrix solution. It's really worth watching even just the first couple videos to get a deeper understanding of this very useful technique.



> The Kalman Filter (video 1 of 55)

That seems... excessive.


it's not 55 videos (dunno if he forgot to upload them or misnumbered them...). Also most of it (I'd say 70%) is him doing matrix multiplications on a whiteboard. Which is excellent if you need a refresher in linear algebra (or just suck at it ;)), otherwise you can skip a lot of the content. That aside, he does an excellent job explaining it.



Average length of these videos are 5 minutes.




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