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3071统计中等derivationmedium

Local-Level Forecast Then Update

题目

Suppose xt=xt1+wtx_t=x_{t-1}+w_t with wtN(0,2)w_t\sim N(0,2), and yt=xt+vty_t=x_t+v_t with vtN(0,3)v_t\sim N(0,3). At time t1t-1 the filtered state is N(7,4)N(7,4). You observe yt=9y_t=9. Compute the predicted mean/variance and the updated mean/variance at time tt.

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你的答案

m_minus

P_minus

m_plus

P_plus