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3153统计中等derivationmedium

Online Update of a Latent Drift

题目

A latent mean θ\theta has prior N(1,16)N(-1,16). Observations arrive one by one with known noise variance σ2=1\sigma^2=1 and realized values [0, 2]. After processing the full stream sequentially, what are the final posterior mean and variance?

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posterior mean

posterior variance