Add a sample

[FrancoisCarouge]

Is your feature request related to a problem? Please describe.
Examples, samples, are critical to help users of the library understand what the library can do and how to use it. While a number of samples are provided, there is room to add more. Kalman filters are used for all sorts of applications, domains, usages in typical or uncommon sizes, types, or domains. The goal of this story is to add one more sample.

Describe the solution you'd like
One more sample source file in the sample directory. The code should be lean, well documented, and tested against a simulated truth. Be conscious of copyright or licensing matters. Give credit and sources where appropriate.