... when anew measurement arrives. This is done in two steps. First,each individual filter in Ft|t−1is updated using standardmeasurement update methods, for example, a KF, and thenthe probability ... (xp1|−1, ω0|−1, N)while (t<tfinal)% 2. Measurement updateωt|t= PF . MeasurementUpdate (yt)for i= 1:N[x(i)t|t, P(i)t|t] = KF(i) . MeasurementUpdate (yt,xp(i)t|t−1)end% ... where KFs are used. Basically, denoting the measurementsand states up to time t withYt={yj}tj=0and Xt={xj}tj=0,respectively, the joint probability density funct ion (PDF) isgiven...