If that page doesn't give you enough to understand those filters ...

http://www.cs.unc.edu/~welch/kalman/

There's no more to do for you than sell hotdogs, bretzels or pizzas ( even donuts ) in the street ...

I also remember having seen some of these filters used in UAV's ...

So, I suspect more a SEARCHing problem than an Understanding problem ...

But it's me ...

Alain