The Kalman Filter is an algorithm is at the heart of almost any decent flight control system and is a very widely used filtering technique in many sensor fusion applications. Originally it was developed in the radar tracking field but has seen widespread use in guidance and navigation systems.
If you ever wanted to fully understand how this works there are several places on the web that give an explanation however none are particularly easy to follow unless you have some control systems background. Thanks to Simon Levy, he is in the process of creating a interactive guide to the extended kalman filter which is definately worth looking at if you want to understand how this all works.
Also if you prefer to watch a video tutorial about the Kalman filter here is the first part of one on youtube including a demo in matlab.
