The troposphere is one of the most important error sources for space geodetic techniques relying on radio signals. Since it is not possible to model the wet part of the tropospheric delay with sufficient accuracy, it needs to be estimated from the observational data. In the analysis of very long baseline interferometry (VLBI) data, the parameter estimation is routinely performed using a least squares adjustment. In this paper, we investigate the application of a Kalman filter for parameter estimation, specifically focusing on the tropospheric delays. The main advantages of a Kalman filter are its real-time capability and stochastic approach. We focused on the latter and derived stochastic models for VLBI zenith wet delays, taking into account temporal and location-based differences. Compared to a static noise model, the quality of station coordinates, also estimated in the Kalman filter, increased as a result. In terms of baseline length and station coordinate repeatabilities, this improvement amounted to 2.3 %. Additionally, we compared the Kalman filter and least squares results for VLBI with zenith wet delays derived from GPS (Global Positioning System), water vapor radiometers, and ray tracing in numerical weather models. The agreement of the Kalman filter VLBI solution with respect to water vapor radiometer data was larger than that of the least squares solution by 6-15 %. Our investigations are based on selected VLBI data (CONT campaigns) that are closest to how future VLBI infrastructure is designed to operate. With the aim for continuous and near real-time parameter estimation and the promising results which we have achieved in this study, we expect Kalman filtering to grow in importance in VLBI analysis.