To keep the example focused and reasonably short, I treated Q matrix as given and concentrated on building intuition around prediction and update. But you're right that this can feel like it appears out of nowhere.

The derivation of the Q matrix is a separate topic and requires additional assumptions about the motion model and noise characteristics, which would have made the example significantly longer. I cover this topic in detail in the book.

I'll consider adding a brief explanation or reference to make that step clearer. Thanks for pointing this out.

Yeah I understand. I do think a brief explanation would help a lot though. As it sits it's not even entirely clear if the presented matrix is general or highly specific. I can easily see someone just use that as their Q matrix because that's what the Q matrix is, says so right there.