covariance

Master the three numbers that summarize any distribution: mean, variance, and standard deviation. Derive linearity of expectation, understand covariance and correlation, then see why the Central Limit Theorem makes the Gaussian unavoidable — with a worked numeric example from scratch.

Fuse noisy sensors over time with provably optimal estimates. Covers the state and noise model, predict and update equations with the Kalman gain, why it's optimal for linear-Gaussian systems, and the Extended KF for nonlinear robots.