Comment by IgorPartola

The Kalman filter is much more sophisticated. Typical re-estimation will be:

  x1 = x0 + alpha * (z - x0)

where alpha is static. The Kalman filter will make it dynamic, taking into account how you obtained the measurements, how old the last re-estimation was, how noisy the process is, etc. Want to do multi-variate analysis? Make alpha a matrix transform.