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3066统计中等derivationmedium

Signal Extraction from One Noisy Print

题目

A latent scalar state has prior xN(10,4)x\sim N(10,4). You observe y=13y=13 through y=x+εy=x+\varepsilon with εN(0,5)\varepsilon\sim N(0,5). Compute the Kalman gain, posterior mean, and posterior variance.

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K

m+

P+