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baogorek/kalman-derivations.ipynb

Last active February 3, 2023 04:29
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@khaiyichin
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This was helpful. Can you point to me where I can find proof for (*)?

@baogorek
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baogorek commented Aug 13, 2022 •
edited

Hi @khaiyichin ,

I was just about to give up, and then (I think) I found it. Check out Section 4 here: https://davidrosenberg.github.io/mlcourse/in-prep/multivariate-gaussian.pdf

Let me know if that's not it or if it gives you any insights. I think I trusted the slides that motivated the Medium article where I showed this gist.

Ben

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