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What does z(0) ~ 𝒩(0,4) mean?
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I'm reading this text in which I have to solve a problem using a Kalman filter. Before I get to that part, I want to understand what does the below expression mean:
z(0) ~ 𝒩(0,4)
if I want to plug-in z(0) into an equation, what would be the value of z? The text's appendix describes the notation as:
x ~ 𝒩(u,P)
"x is Gaussian with mean u and covariance P". In this case, x is a vector. However, in the above case z(0) is a scaler.
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