Kalman Filter - Order of Update Step?

1. How does Kalman filter predict?
2. How to fine tune Kalman filter?
3. What is process noise in Kalman filter?

How does Kalman filter predict?

The filter estimates the current measurement by multiplying the predicted state by the measurement matrix. The residual, ∼yk , is later then multiplied by the Kalman gain, Kk , to provide the correction, Kk∼yk , to the predicted estimate ˆx−k .

How to fine tune Kalman filter?

A simple approach to tune a Kalman filter is to use measurements with a known ground truth and adjusting the measurement and process noise of the filter.

What is process noise in Kalman filter?

In Kalman filtering the "process noise" represents the idea/feature that the state of the system changes over time, but we do not know the exact details of when/how those changes occur, and thus we need to model them as a random process.