This is code implements the example given in pages 11-15 of An Introduction to the Kalman Filter by Greg Welch and Gary Bishop, University of North Carolina at Chapel Hill, Department of Computer Science.
MATLAB® and NumPy/SciPy have a lot in common. But there are many differences. NumPy and SciPy were created to do numerical and scientific computing in the most natural way with Python, not to be MATLAB® clones. This page is intended to be a place to collect wisdom about the differences, mostly for the purpose of helping proficient MATLAB® users become proficient NumPy and SciPy users. NumPyProConPage is another page for curious people who are thinking of adopting Python with NumPy and SciPy instead of MATLAB® and want to see a list of pros and cons.