Where [math]A\in\mathcal{R}^{n\times n}[/math] is a full-rank n*n matrix representing the dynamics of the linear iterative system, and [math]\varepsilon_t\sim\mathcal{N}(0,\Sigma)[/math] is n-dimensional Gaussian noise with mean zero and covariance matrix [math]\Sigma[/math]. Among them, the covariance matrix [math]\Sigma[/math] is also full rank. | Where [math]A\in\mathcal{R}^{n\times n}[/math] is a full-rank n*n matrix representing the dynamics of the linear iterative system, and [math]\varepsilon_t\sim\mathcal{N}(0,\Sigma)[/math] is n-dimensional Gaussian noise with mean zero and covariance matrix [math]\Sigma[/math]. Among them, the covariance matrix [math]\Sigma[/math] is also full rank. |