Kalman Filter - Preliminary Study

I am embarking on a project that works with sensors. Sensor readings are noisy, so they need to be filtered. There are many ways to filter a stream of noisy data, and one that I just learnt is called Kalman Filter. A good place to learn about it is: http://www.bzarg.com/p/how-a-kalman-filter-works-in-pictures/. Here I am going to discuss about this technique mostly for my own future reference.