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Glen_b
Glen_b
5:32 AM
@Not Even though it looks like I was here, I wasn't. If you close the window without leaving, you show as present.
 
 
15 hours later…
Dan
Dan
8:07 PM
@whuber and @Glen_b do either of you two have any suggestions to this question?
0
Q: Explanation of density rewriting?

DanCan somebody please explain the math behind this statement to me? I am not sure how they represent the left hand side by that integral and finally how it is proportional to that. \begin{align} p(S_{t+1}|z_{t+1}) &=\int p(S_{t+1}|S_t,z_{t+1})d\mathbb{P}(S_t|z^{t+1}) \\ &\propto...

mathematical-statistics pdf integral
 
Glen_b
Glen_b
8:42 PM
@Dan If I had anything of value to say, I'd have posted it when I first read the Q.
I will say however, that if your question needs context (at the least you should define the notation), you should provide it in the body of your post.
Oh, I see z^t is defined there now. I didn't see that when it first posted.
 
Dan
Dan
Good point and sorry for that. I am extremely new to the site and am still learning.
I'd figure I'd ask you two since you two seem to be the most prolific solvers of questions.
 
Glen_b
Glen_b
See my comment. Fix your post; it will help. The first line of mathematics just looks like integrating S_t out. The next line looks like an application of Bayes rule. I'd check out the Carvalho reference.
I could probably sort it all out but it's not an efficient use of my time; someone whose actually done something with particle learning (which I haven't) would be better placed to respond.
 
Dan
Dan
8:58 PM
Wow, can't believed I missed that. Tahnks!
One last question, is that the correct way to interpret integrating with respect to a probability measure?
 

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