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3068统计中等derivationmedium

Latent Fair-Value Update

题目

A latent scalar state has prior xN(1,16)x\sim N(-1,16). You observe y=3y=3 through y=x+εy=x+\varepsilon with εN(0,9)\varepsilon\sim N(0,9). Compute the Kalman gain, posterior mean, and posterior variance.

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K

m_plus

P_plus