Learning the Kalman Filter

Basic Kalman filter, heavily commented, for beginners to Kalman filtering.

When I first studied Kalman filtering, I saw many advanced signal processing submissions here at the MATLAB Central File exchange, but I didn't see a heavily commented, basic Kalman filter present to allow someone new to Kalman filters to learn about creating them. So, a year later, I've written a very simple, heavily commented discrete filter.