[tim-fan]

For me the intuition came from Sebastian Thrun in his Ai for robotics online course. Running through everything in 1D definitely helped get the concepts before extending to multidimensional problems.

This looks to be the course playlist: https://youtube.com/playlist?list=PLAwxTw4SYaPkCSYXw6-a_aAoX...

The kalman filter stuff starts at video "Tracking Intro - Artificial Intelligence for Robotics"

Also the free course appears to be available here, although a login is required to access:

https://www.udacity.com/course/intro-to-artificial-intellige...

[esafak]

For my money -- as a machine learning engineer -- the simplest explanation is Christopher Bishop's:

https://www.youtube.com/watch?v=QJSEQeH40hM

http://mlss.tuebingen.mpg.de/2013/2013/bishop_slides.pdf#pag...