It seems Optimal Estimation/Control Theory requires a lot more than undergraduate maths. Any good book that would help me get started?
I have so far referred the following books but found them quite difficult. Is it just me? is it the subject? or are there better books? Extra points for someone who gives a detailed road map of how to go about learning Optimal Estimation/Control Theory
H.W Sorenson - Parameter Estimation
Unless you are a mathematician interested in the calculus of variations approach, before going into optimal control and estimation I'd start with a more introductory and less specialized text on classical control such as
Feedback Systems An Introduction for Scientists and Engineers Karl Johan Åström Richard M. Murray
There are many other good textbooks for a intro classical control course, it's a question of preference.