The Kalman Filter is, from many years, a common tool in geodesy, and grows up more significance due to the innovative technique of the direct georeferencing, used in Photogrammetry and in the LIDAR positioning. Even if the scientific emergent problems in the last years are focused, the technique is explained in simple plain way. We have preferred therefore to explain the demonstration, only by big blocks in the appendix. The complexity of this topic has been mitigated and the formulas claried with the introduction of some easy exercises.