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I have some problems with the derivation of multi-model filtering in a paper. The involved statements in this paper are as follows.

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My question is how did the above formula get from left to right?

Also, does the "first two moments of $x_k$" in paragraph 1 refer to the first two time steps? why specifically mentioned here?

The paper's link: https://ieeexplore.ieee.org/document/5953482

Thanks in advance!

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  • $\begingroup$ Can you link to the relevant paper? $\endgroup$
    – Adam Kells
    Oct 6 '21 at 10:43
  • $\begingroup$ thank you, I attached the paper's link as above $\endgroup$ Oct 11 '21 at 7:23

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