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3081统计中等derivationmedium

Two Missing Days Before a Print Arrives

题目

A local-level model satisfies xt=xt1+wtx_t=x_{t-1}+w_t with wtN(0,1)w_t\sim N(0,1), and observations have noise variance 2. After the last filtered state N(3,4)N(3,4), there are 2 consecutive missing observations. Then you observe a new value y=6y=6. Compute the variance just before the new observation and the updated mean/variance after processing it.

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你的答案

P_minus

m_plus

P_plus