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6030统计简单derivationshort

One-Step Prediction with a Persistence Coefficient

题目

A latent state evolves as xt=0.9xt1+wtx_t=0.9\,x_{t-1}+w_t with wtN(0,2)w_t\sim N(0,2). At time t1t-1 the filtered state is N(4,3)N(4,3). Compute the one-step-ahead predicted mean and predicted variance of xtx_t (before any observation at time tt).

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predicted mean

predicted variance