Expectation Algebra 期望代数

Expectation Algebra

https://www.kalmanfilter.net/background2.html
I am going to extensively use the expectation algebra rules for Kalman Filter equation derivations. If you are interested in understanding the derivations, you need to master expectation algebra. You already know what a random variable is and what an expected value (or expectation) is. If not, please read the previous background break page.

Basic Expectation Rules

The expectation is denoted by the Capital letter E. The expectation of the random variable $E(X)$ equals the mean of the random variable:
$$E(X)={\mu }_X$$
Here are some basic expectation rules:

Variance and Covariance Expectation Rules

The following table includes the variance and covariance expectation rules.

The variance and covariance expectation rules are not straightforward. I will prove some of them.

Rule 8