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This is the fourth edition of a successful textbook and professional reference on Kalman Filtering - fully updated, revised, and expanded. It features new sections on the attributes of probability distributions in Kalman filtering; the new sigmaRho filter implementation; and the treatment of nonlinear approximations to Kalman filtering. It features expanded coverage of applications in navigation, derivations and implementations for satellite and inertial navigation error models, and new examples of sensor integration. It includes a companion website with a matrix refresher, problem solutions, and MATLAB(registered) files.