这方面书不少，列举一些给你看看：
Kalman Filtering, with Real-Time Applications by Charles K. Chui, Guanrong Chen
Robust Kalman Filtering For Signals and Systems with Large Uncertainties by Ian R. Petersen, Andrey V. Savkin
Advanced Kalman Filtering, Least-Squares and Modeling, A Practical Handbook by Bruce P. Gibbs
Kalman Filtering. Theory and Practice Using MATLAB by Mohinder S. Grewal, Angus P. Andrews
Introduction to Random Signals and Applied Kalman Filtering with Matlab Exercises by Robert Grover Brown,
Nonlinear Kalman Filtering for Force-Controlled Robot Tasks (Springer Tracts in Advanced Robotics) by Tine Lefebvre, Herman Bruyninckx, Joris Schutter
Vehicle Dynamics Estimation using Kalman Filtering. Experimental Validation by Moustapha Doumiati, Ali Charara, Alessandro Victorino, Daniel Lechner
Kalman Filtering by Joaquín M. Gomez 2011
An Introduction to Kalman Filtering with MATLAB Examples (Synthesis Lectures on Signal Processing) by Narayan Kovvali, Mahesh Banavar, Andreas Spanias
Fundamentals of Kalman Filtering: A Practical Approach 2009 by Paul Zarchan, Howard Musoff
Restricted Kalman Filtering: Theory, Methods, and Application 2012 by Adrian Pizzinga

啊！非常感谢！
我是在试着用kalman filter去做pairs trading 里的残差项，以前没有接触过这方面，也是边做边学。非常感谢帮助！祝好

最著名的好像是harvey 1989那本Forecasting, Structural Time Series Models and the Kalman Filter

看了一下original的论文，没看懂。。所以果断看了intro to kalman filter。谢谢了