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(Yet another) Kalman filtering guide

I have recently been to a conference where there was a common tool for everyone, the Kalman filter. The point is that I was a bit shocked when I saw that many people there see some of its steps as black magic. I decided to write a (yet another) detailed guide about the Kalman filter. In particular, I have tried to be rigorous enough with the math but trying at the same time to explain with plain words what is going on at every single step.
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