…distributions of the vector h and its covariance matrix are derived from the posterior distributions of the vector z and its covariance matrix (Prince and Elder, 2007) which we will find later at the E-step:
hðs;rÞm D E
zðs;rÞm
hðs;rÞm h ðs;rÞT m D E zðs;rÞm zðs;rÞ T m D E ðA:6Þ
So we…