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The python wrapper for this class is incomplete. Nowhere in your example did you specify any of the system matrices or noise covariances, and indeed the python wrapper does not provide a method to do this.
If you look at the sample kalman.cpp, you can see that the C++ API requires the transition, measurement, control and noise covariance matrices to be initialized after the filter object is constructed.
You might want to write up a feature request on the bug tracker for this.
