Good book or reference to learn Kalman Filter I am totally new to the Kalman filter. I've had some basic courses on conditional probability and linear algebra. Can someone suggest a good book or any resource on the web which can help me can understand Kalman Filter operation?

Most websites start directly with the formula and what they mean, but I am more interested in its derivation, or if not detail derivation then at least the physical significance of each operation and parameter.
Many years ago I wrote this tutorial on the Kalman filter.  It derives the filter using both the conventional matrix approach as well as showing it's statistical assumptions as an 'optimal' least squares filter.