I don't know what it is about the Kalman filter but so many explanations including the OP have this format: "It's very simple! <complicated obtuse explanation listing the computation steps>"
Your comment is the first I've seen actually providing intuition about what is happening. It doesn't help perhaps that the name itself is misleading as heck to computer people like me: it's not a filter as in stream processing or SQL.
Your comment is the first I've seen actually providing intuition about what is happening. It doesn't help perhaps that the name itself is misleading as heck to computer people like me: it's not a filter as in stream processing or SQL.