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1LinearGaussianStateSpaceLetthecanonicalformforaLinearGaussianStateSpaceLGSSbeSAS1Bv1YCzDSw2wherevwiidN0Q00RS0NS0j0P0j0The rstequationisastateequationortransitionequationan

1LinearGaussianStateSpaceLetthecanonicalformforaLinearGaussianStateSpace(LGSS)beS=AS1+Bv(1)Y=Cz+DS+w(2)wherevwiidN0;Q00RS0N(S0j0;P0j0)The rstequationisastateequation(or transitionequation)

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