ft_kalman

Good explanation of what all the variables mean:

https://cheever.domains.swarthmore.edu/Ref/Kalman/MatrixKalman.html

Nice short intro series on kalman filters:

https://www.youtube.com/watch?v=5Y-dnt2tNKY

Full on tutorial.

https://www.kalmanfilter.net/kalman1d.html

Equations

TYPE	FORMULA	DONE
State Extrapolation	x^n+1,n=Fx^n,n+Gun	yes
Covariance Extrapolation	Pn+1,n=FPn,nFT+Q	no
	no