I want to understand the overview of Kalman filters and what purpose do they serve. I am trying to leverage this platform as I am not sure about other authentic sources on the internet to get this information. Please suggest one if you know. On another note, if I have a signal that is a mixture of various frequencies; can Kalman filter be used to extract the DC or average value of this signal? Please let me know how does it work. Thanks in advance.

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