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Kalman filtering : theory and practice using MATLAB by Grewal, Mohinder S., Andrews, Angus P.

Applied mathematics in itegrated navigation systems by Roberts, Robert M.

Kalman Filtering Theory by Balakrishnan, A. V.

Kalman filtering and neural networks

Fundamentals of Kalman filtering : a practical approach by Zarchan, Paul, Musoff, Hovard

Mathematics of Kalman-Bucy Filtering by Ruymgaart, P. A., Soong, T. T.

Fil'tr Kalmana-B'jusi : Determinirovannoje nabljudenije i stochastičeskaja fil'tracija by Brammer, Karl, Siffling, Gerhard

A Course in Time Series Analysis

Introduction to random signals and applied Kalman filtering : with MATLAB excercises by Brown, Robert Grover, Hwang, Patric Y. C.