What is a Kalman Filter
Why use a Kalman Filter?
Discrete Algebraic Ricatti Equation (DARE)
Extended Kalman Filter (EKF)
Implementing Kalman Filters
Kalman filters in Python
https://github.com/rlabbe/Kalman-and-Bayesian-Filters-in-Python
EKF SINDy
Sparse Identification of Nonlinear Dynamical Systems (SINDy) is an approach to derive system models from data. The EKF SINDy framework uses SINDy to derive an extended Kalman filter.