There are two tutorials for the
*kf engine, the pendulum tutorial, which is very quick, and the more in-depth jaguars tutorial, which shows how to build a series of filters for estimating jaguar populations.
The Eustace is the place to look for the Kalman filtering framework. It whos how to run and test different kinds of Kalman filters in order to track a skydiver.
When you're ready to try making a complete filter from scratch, give homework 1 and 2 a try. There are worked answers too, so you can check your development using the engine, frameworks, or basic filters.