How do I model a system to use with a Kalman Filter? So I have an accelerometer, gyroscope, magnetometer and GPS. I would like to use a Kalman filter to optimally measure speed, position, acceleration and orientation. I have done research and I need to model the system mathematically, however this is the part I have got stuck on.

Can anyone give me some pointers on how to proceed here, do I need to try and model the system using differential equations and then derive the parameters for my $\mathbf A, \mathbf B$, and $\mathbf H$ matrices from there?

Any guidance would be great, thanks.
The following article explains the questions you have on modeling the system mathematically, in a very lucid way with examples and equations.  

http://www.anuncommonlab.com/articles/how-kalman-filters-work/index.html