This isn't really an update. I am just listing links I have come across while trying to figure out how I am going to deal with the data.

http://greg.czerniak.info/guides/kalman1/

http://www.cs.unc.edu/~welch/media/pdf/kalman_intro.pdf
http://www.cs.unc.edu/~welch/kalman/media/pdf/maybeck_ch1.pdf

http://www.cs.unc.edu/~welch/kalman/

http://www.math.ucla.edu/~tom/papers/LiarsDice.pdf

http://www.csee.wvu.edu/~xinl/library/books/stochastic_programming.pdf