Wow, this lecturer is great! I think this is the most intuitive explanation of Kalman filters I've seen yet. I've seen other lecturers try to quickly jump into state space and lose students with big matrices.

I would have paid good money for this if I wasn't already familiar with the material. The clarity is up there with The Essence of Linear Algebra: https://www.youtube.com/watch?v=kjBOesZCoqc

Trading math videos on the Internet--definitely nerds.