The magic of the Kalman filter, in pictures
I'll be shameless and point you to my book on Kalman filtering  which I wrote in IPython Notebook, which allows you to experiment within your browser.<p><a href="https://github.com/rlabbe/Kalman-and-Bayesian-Filters-in-Python" rel="nofollow">https://github.com/rlabbe/Kalman-and-Bayesian-Filters-in-Pyt...</a>