Process noise
= Process noise
{title2=$w_t,\quad Q_t=\operatorname{Cov}(w_t)$}
<Process noise> is the random contribution to a state transition in a <state-space model>. It represents uncertainty in how the state evolves. <Measurement noise> instead affects the observed value of the state. In the <local-level state-space model> $x_t=x_{t-1}+w_t$, $y_t=x_t+v_t$, the first disturbance changes the state itself; the second changes its measurement.