"Theoretically, a Kalman filter is an estimator for what is called the linear quadratic Gaussian (LQG) problem, which is the problem of estimating the instantaneous “state” of a linear dynamic system perturbed by Gaussian white noise, by using measurements linearly related to the state, but corrupted by Gaussian white noise. The resulting estimator is statistically optimal with respect to any quadratic function of estimation error. R. E. Kalman introduced the “filter” in 1960 (Kalman 1960).” Src.
It tries to model the moving object (linearly)
Object has state (e.g., position, velocity for a car)
Covariance matrix (between state elements)
Controls that affect object (braking force)
State transition matrix, control matrix, noise
We have some measurement source to correct kalman model.