Question: Consider the linear AR ((p)) model in Subsection 10.6.1. Suppose that (x_{h}) and (x_{h+1}) are two missing values with a joint prior distribution being multivariate

Consider the linear AR $(p)$ model in Subsection 10.6.1. Suppose that $x_{h}$ and $x_{h+1}$ are two missing values with a joint prior distribution being multivariate normal with mean $\boldsymbol{\mu}_{o}$ and covariance matrix $\boldsymbol{\Sigma}_{o}$. Other prior distributions are the same as that in the text. What is the conditional posterior distribution of the two missing values?

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