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.
mat files contain data saved in Matlab's proprietary format. How to read these files in Python depends on the version of Matlab used to save them, up to 7.1 or greater. Here are exemples of how to read two variables lat and lon from a mat file called "test.mat".
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.