3081统计中等derivationmedium
Two Missing Days Before a Print Arrives
题目
A local-level model satisfies with , and observations have noise variance 2. After the last filtered state , there are 2 consecutive missing observations. Then you observe a new value . 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