1. Preliminaries.- 2. Kalman Filter: An Elementary Approach.- 3. Orthogonal Projection and Kalman Filter.- 4. Correlated System and Measurement Noise Processes.- 5. Colored Noise.- 6. Limiting Kalman Filter.- 7. Sequential and Square-Root Algorithms.- 8. Extended Kalman Filter and System Identification.- 9. Decoupling of Filtering Equations.- 10. Notes.- References.- Answers and Hints to Exercises.
