"In 2008 the National Academy of Engineering awarded Rudolf Kalman the Charles Stark Draper Prize--the engineering equivalent of the Nobel Prize ($500,000 cash award)--for the development and dissemination of the optimal digital technique (known as the Kalman Filter) that is pervasively used to control a vast array of consumer, health, commercial, and defense products. " This is a practical guide to building Kalman filters that shows how the filtering equations can be applied to real-life problems. Numerous examples are presented in detail, showing the many ways in which Kalman filters can be designed. Computer code written in FORTRAN, MATLAB, and True BASIC accompanies all of the examples so that the interested reader can verify concepts and explore issues beyond the scope of the text.