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I am currently working on deriving the Kalman Gain from the covariance of the updated state and have encountered an equality issue that I am unable to resolve. Below are the derivation steps and the ...

It is well known that cubic interpolation is the solution of the interpolation problem that minimizes the integral of the square of the second derivative: $$ min_{f \text{ s.t. } f(x_i)=y_i} \int (f''(...

This is actually a variant of a well-known problem of how the parameters of a multinomial distribution can be estimated by maximum likelihood, and this arises from a final year project I undertook ...

I'm trying to reproduce a proof from this paper but I'm stuck in one point (Lemma 6). The general subject is bayesian model for multi-armed bandit problem solved with Thompson sampling. I think I ...

Suppose I have a random variable $x$ and a set of conditional distributions on $x$. Here is an example where the conditionals are nested: $$q_1 := E(x|y_1), \quad q_2 := E(x|y_1,y_2),\quad q_3 := E(x|...

I asked this on math.stackexchange with no response, I'm hoping someone here might have something. Suppose I want to estimate $x \in \mathbb{R}^n$ from two signals with zero mean, normally ...