This text is a practical guide to building Kalman filters and shows how the filtering equations can be applied to real-life problems. Numerous examples are presented in detail showing the many ways in which Kalman filters can be designed. Computer code written in FORTRAN, MATLAB®, and True BASIC accompanies all of the examples so that the interested reader can verify concepts and explore issues beyond the scope of the text. Sometimes mistakes are introduced intentionally to the initial filter designs in order to show the reader what happens when the filter is not working properly. The text spends a great deal of time setting up a problem before the Kalman filter is actually formulated in order to give the reader an intuitive feel for the problem being addressed. Real problems are seldom presented in the form of differential equations and they usually don’t have unique solutions. Therefore, the authors illustrate several different filtering approaches for tackling a problem. Readers will gain experience in software and performance tradeoffs for determining the best filtering approach for the application at hand.