The most thorough explanation of Kalman filter as recursive least square coupled with linear state-space models is
"Linear Estimation" by Thomas Kailath, Ali H. Sayed, Babak Hassibi.
It covers robust numerical algorithms such as square-root Kalman filter.
Unfortunately, it is a big book and reading it is going to be a big time investment, but I believe it will be a worthwhile investment. It develops in depth various linear algebra concepts and demonstrates profound application to linear least square. This book is what people mean when they say learn from masters.It is also the only technical book I have read that aptly quotes Shakespeare:
"Age cannot whither her,
nor custom stale
her infinite variety."
InnerGargoyle|4 years ago