Classical linear Kalman filtering code, however, did not involve the determination of the initial state, please refer to the relevant information, self-solve

KalmanFilter\KalmanFilter.sln
............\KalmanFilter.suo
............\............\Data.cs
............\............\Form1.cs
............\............\Form1.Designer.cs
............\............\Form1.resx
............\............\KalmanFilter.csproj
............\............\Matrix.cs
............\............\Program.cs
............\............\bin\Debug\KalmanFilter.exe
............\............\...\.....\KalmanFilter.pdb
............\............\...\.....\KalmanFilter.vshost.exe
............\............\...\.....\KalmanFilter.vshost.exe.manifest
............\............\obj\x86\Debug\DesignTimeResolveAssemblyReferences.cache
............\............\...\...\.....\DesignTimeResolveAssemblyReferencesInput.cache
............\............\...\...\.....\GenerateResource.read.1.tlog
............\............\...\...\.....\GenerateResource.write.1.tlog
............\............\...\...\.....\KalmanFilter.csproj.FileListAbsolute.txt
............\............\...\...\.....\KalmanFilter.exe
............\............\...\...\.....\KalmanFilter.Form1.resources
............\............\...\...\.....\KalmanFilter.pdb
............\............\...\...\.....\KalmanFilter.Properties.Resources.resources
............\............\...\...\.....\ResolveAssemblyReference.cache
............\............\Properties\AssemblyInfo.cs
............\............\..........\Resources.Designer.cs
............\............\..........\Resources.resx
............\............\..........\Settings.Designer.cs
............\............\..........\Settings.settings
............\............\obj\x86\Debug\TempPE
............\............\...\...\Debug
............\............\bin\Debug
............\............\...\Release
............\............\obj\x86
............\............\bin
............\............\obj
............\............\Properties
............\KalmanFilter
KalmanFilter

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