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