Solution
= Solution
As $\Delta t/\tau\to\infty$, $\rho\to0$. Therefore the posterior predictive mean tends to $\mu$ and its variance tends to $R$: a sufficiently distant observation has reverted to the stationary prior distribution.
= Solution
As $\Delta t/\tau\to\infty$, $\rho\to0$. Therefore the posterior predictive mean tends to $\mu$ and its variance tends to $R$: a sufficiently distant observation has reverted to the stationary prior distribution.