Prove the Chapman–Kolmogorov relation:
r
Pr(wt|x1...t−1)=
Pr(wt|wt−1)Pr(wt−1|x1...t−1)dwt−1
=Normwt[µp+Ψwt−1,Σp]Normwt−1[µt−1,Σt−1]dwt−1
=Normwt[µp+Ψµt−1,Σp+ΨΣt−1Ψ].
T
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