We thank two anonymous reviewers for their most constructive suggestions and comments that have significantly improved our work. This publication is based on work supported by funds from the KAUST GCR Academic Excellence Alliance program.
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The deduction will be similar in case that ui and vi are correlated colored noise. Readers are referred to, for example, Simon (2006, chapter 7) for the details.
If, in contrast, the observation is very unreliable, then one may choose a negative value for γ such that the background has relatively more weight in the update. In this work we confine ourselves to the scenario γ ≥ 0.