“…R.1: Given A, Q, m, and P with appropriate dimensions, where Q and P are positive definite, then [40], [41] N (x; Aw, Q)N (w; m, P)dw = N (x; Am, Q+APA T ). (36) R.2: Given B, R, m, and P with appropriate dimensions, where R and P are positive definite, then [40], [41] N (z; Bx, R)N (x; m, P) = q(z)N (x; m, P), (37) where q(z) = N (z; Bm, R + BPB T ), m = m + K (z − Bm), P = (I − KB)P and K = PB T (BPB T + R) −1 . R.3: The power of a Gaussian component is a Gaussian component [36] [αN (x; m, P)] w = α ω k(ω, P)N (x; m, P/ω), (38) where k(ω, P)…”