The summary of this chapterUnder the assumptions of discrete system in this chapter expounds the basic principle of kalman filter, expounds mainly from two aspects: (1) the system process model and measurement model is established in this paper, main is to build a system state difference equation and measurement equation, and determine the statistical properties of system noise and measurement noise, the use of statistical measurement method of noise parameter estimation, a mathematic model of the system process;(2) The establishment of the filter calculation model, based on the mathematical model, to determine the filter time update equation and state update equation, mainly in the determination of the filter coefficient including the state transition matrix and related factor matrix.