This book examines real-time target tracking and identification algorithms with a focus on tracking an agile target. The authors look at several problems in which the tradeoff of accuracy and confidence must be made. These issues are explored within the context of specific tracking scenarios chosen to illustrate the tradeoffs in a simple and direct manner. The text covers the Gaussian wavelet estimator (GWE) which has a flexible architecture that is able to fuse uncommon sensor combinations with non-temporal structural constraints.