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KFilter - Free C++ Extended Kalman Filter Library

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Here are some interesting links about kalman filters :

The Kalman Filter
A really nice site with a good introduction to kalman filtering. This is a must-see: Kfilter is based on this introduction. Also, there are many good links listed there.
The Seminal Kalman Filter Paper (1960)
This is the original paper from Kalman, in PDF format. The PDF is found on the same site as above.