Description: Kalman is a good package, which includes several examples and simulation, and its detailed explanation.
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File list (Check if you may need any files):
KalMat_filterexample\BaseContinuousSystemModel.m
....................\BaseDiscreteSystemModel.m
....................\BaseObserverModel.m
....................\BaseSystemModel.m
....................\BLUEFilter.m
....................\demos\DoubleWell.m
....................\.....\HeatConduction.m
....................\.....\Reentry.m
....................\EKFContinuousSystemModel.m
....................\EKFObserverModel.m
....................\EKFSystemModel.m
....................\ekfTransform.m
....................\LinearContinuousSystemModel.m
....................\LinearObserverModel.m
....................\LinearSystemModel.m
....................\sdchol.m
....................\symmetricSigmaPoints.m
....................\UnscentedContinuousSystemModel.m
....................\UnscentedObserverModel.m
....................\UnscentedSystemModel.m
....................\unscentedTransform.m
....................\demos
KalMat_filterexample