Question: Consider the discrete - time linear dynamical system: X4+1 = Axt + We, where Xo and (wilt are mutually independent and normally distributed with XO

Consider the discrete - time linear dynamical system: X4+1 = Axt + We, where Xo and (wilt are mutually independent and normally distributed with XO N N X , PO WE ~ N(O, Q ) Determine : P XO, . ..) XT , Wo, 2..) WT-I

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