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For a simple case, given a particle set, calculate the weighted sum of the particles by iterating over each particle $i$ in the set $N$: $$\mu_{x} = \Sigma_{I=1}^{N} w_{i} x_{i}$$ And then calculate the weighted covariance for each particle $i$ in the set $N$ and sum them up: $$P_{xx} = \Sigma_{I=1}^{N} w_{i} (x_{i}-\mu_{x})(x_{i}-\mu_{x})^{T}$$ Where $w_{i}$...


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