$Y = X+N$ where $X,N$ are normally distributed with zero mean.
I know that $Y$ is also normally distributed with zero mean and sum of variances.
I don't know how to get $f(X|y)$ in order to calculate ${\rm E}(X|y)$.
$Y = X+N$ where $X,N$ are normally distributed with zero mean.
I know that $Y$ is also normally distributed with zero mean and sum of variances.
I don't know how to get $f(X|y)$ in order to calculate ${\rm E}(X|y)$.