- Control System Design Guide by George Ellis, 1991, TJ 216 E39 1991
A very nice, readable, and practical book.
- Observers in Control System by George Ellis, 200, QA 402.3 E45 2002
Specialized, uses his unique software, very readable.
- Stochastic Processes and Filtering Theory, Jazwinski, 1970, QA 276.8 J38
An "egghead" book, all math, no practical information, recommended as
mathematical background for Kalman Filter studies.
- Linear Estimation and Stochastic Control, Davis, 1977, QA 402.3 D38
Another "egghead" book, but at leas thinner than the above,
- Introduction to Random Signals and Applied Kalman Filtering
Brown and Hwang, 1992 (2nd edition).
Now here is a nice book with a clean organized mathematical first half.
Kalman Filter links online