Resources: page=54
The prediction step in a continuous filter, also known as the Chapman-Kolmogorov equation, follows from the total probability theorem and is given by
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Jan 06, 2025, 1 min read
Resources: page=54
The prediction step in a continuous filter, also known as the Chapman-Kolmogorov equation, follows from the total probability theorem and is given by
p(xk∣z1:k−1)p(xk∣z1:k−1)=∫p(xk,xk−1∣z1:k−1)dxk−1=∫p(xk∣xk−1)p(xk−1∣z1:k−1)dxk−1