This is a book that is clear and lucid in its presentation of the technically difficult area of state estimation. The bottom-up approach taken in this text lays the foundation one block at a time until the reader has a firm grasp of optimal filtering. The examples are presented to accomplish two distinct goalsÂ'first, to help the reader gain an intuitive understanding, and second, to help the reader see how the theory can be applied to real-world problems. The author's 14 years of industrial experience, along with his theoretical contributions to the field, make him uniquely qualified to present this subject in a way that is both mathematically rigorous and practical. In addition to the basic theory of state estimation, this book presents recent research results in a way that can be easily understood by readers with a background in linear systems. The Matlab source code for the numerous examples in the book is available on the Internet. This allows the student to recreate the example results presented in the book and experiment with other simulation setups and parameters.