This book introduces the theoretical and practical aspects of Kalman filtering. The material includes how to present a problem in a mathematical model, analyze the performance of the estimator as a function of system design parameters, implement the mechanization equations in numerically stable algorithms, assess its computational requirements, test the validity of results, and monitor the filter performance in operation. The fourth edition contains the latest developments in the application of Kalman filtering, including adaptations for nonlinear filtering, global navigation satellite systems, the error modeling of gyros and accelerometers, inertial navigation systems, and freeway traffic control. In addition, it shares original methods for designing, implementing, validating, and improving Kalman filters.