... simulation and optimization Simulation: Transactions of the Society for Modeling and Simulation International, 2007 In press Y Chen, P Diaconis, S P Holmes, and J Liu Sequential Monte Carlo method ... formulas (A.27) and (A.30) form the (discrete-time) KalmanJilter Starting with some known p,o and Co, one determines 111 and 51,then j k and C1, and so on Notice and that 2, Ct not depend on the observations ... p and thus 022 Proceeding with the second component = Var(22) = Var(bzlX1 + b 2 X ) = bzl + bi2 (A.2) ('4.3) Further, from (A.l) and (A.2) Hence, from (A.3) and (A.4) and the symmetry of C, Simulation...