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where we employed the blockwise matrix inversion [8]. Under the concentrated Gaussian approximation, the  top left block of P in (41) corresponds to P,j, 1. Thus, we obtain the following covariance prediction formula:

Figure 4 where we employed the blockwise matrix inversion [8]. Under the concentrated Gaussian approximation, the top left block of P in (41) corresponds to P,j, 1. Thus, we obtain the following covariance prediction formula: