There is a treasure trove of articles and white papers about designing with Kalman filters and PLLs on Embedded.com, as well as on their use in some surprising venues. I have linked to some of these ...

It appears that no particular approximate [nonlinear] filter is consistently better than any other, though . . . any nonlinear filter is better than a strictly linear one. 1 The Kalman filter is a ...

As a follow-on course to "Kalman Filter Boot Camp", this course derives the steps of the linear Kalman filter to give understanding regarding how to adjust the method to applications that violate the ...