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

Question 10: By identifying the terms that are linear and quadratic with respect to p() in the exponential factor of f(p()y()), show that the mean and covariance matrix of f(p( )ly(t) ) are given by mitt = mit 1+ Kty(*) Ett = (12 - Ktb ) Ett-1 (8) with z(t) = y(t) -b met-1 Kt = ( Ett_16) /82 B2 = 67Ett_ 16 + o? and 12 the 2 x 2 identity matrix. (6 Marks)

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