Linear_Kalman_Filter
Adapted from Simon D. Levy's TinyEKF. I mainly changed the tiny_ekf.c file to make the filter works with linear models. Current application is for yaw angle estimation, still working on testing with Teensy Arduino; still working on documentation. The interface should be able to work with different models.
To understand how Kalman filter works, see Bzarg's blogpost with illustrations and Simon's interactive tutorial