3082统计中等derivationmedium
One Missing Observation Then Update
题目
A local-level model satisfies with , and observations have noise variance 5. After the last filtered state , there are 1 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
Variance just before observation (P-)
Updated mean (m+)
Updated variance (P+)