The Kalman filter has two steps. The first step is predicting (trying to say what you think will happen). The Kalman filter makes a first guess about what we think is true (an "estimate") and how certain we are that it is true ("uncertainty"). Next, the Kalman filter makes a new guess by using a weighted average. More certain numbers are more important in this weighted average. After doing these two steps, we use the new guess to start these steps again.