For those familiar with least squares estimation, there's a good answer here tha...

		messel on Jan 21, 2017 \| parent \| context \| favorite \| on: How a Kalman filter works, in pictures (2015) For those familiar with least squares estimation, there's a good answer here that relates it with the Kalman filter http://dsp.stackexchange.com/a/2398 It's a little simpler to derive the least squares smoothing function http://stats.stackexchange.com/a/138342