Question: Question 10: By identifying the terms that are linear and quadratic with respect to p() in the exponential factor of f(p()ly )), show that the

Question 10: By identifying the terms that are linear and quadratic with respect to p() in the exponential factor of f(p()ly )), show that the mean and covariance matrix of f(p() ly(t) ) are given by milt = mit 1+ Kty(t) Ett = (12 - Kib ) Ent-1 (8) with y (1 ) = y(t ) - b melt-1 Ki = (El-16) /82 B2 = 6 Ent 16 + 0? and 12 the 2 x 2 identity matrix. (6 Marks)

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