This thesis applies the extended Kalman filter (EKF) to estimate power system states. Power system state estimation refers to estimate power system algebraic state variables such as voltage magnitudes and phase angles. Kalman filter is commonly seen in radar tracking and rocket tracking applications. Extended Kalman filter is superior to Kalman filter in that the former can handle nonlinear system but the latter is suitable to linear system. This thesis considers various EKF settings and different design parameters to evaluate power system states estimation. This thesis takes a five-bus power system with 24-hour load profile as an example for EKF and its various parameters settings to estimate state. Comprehensive computer simulations will justify the estimation performance.