$ℝ\to$

Real number set

${ℝ}^n\to$

n-dimensional Euclidean space

$A^{{\rm T}}\to$

The transpose of the A matrix

$diag\{\cdot \}\to$

Block diagonal matrix

$E\{\cdot \}\to$

Expectation operator relative to a probability measure

$\Vert \cdot \Vert \to$

The Euclidean norm of a vector and the derived norm of a matrix

$\ast \to$

The symmetric term in the matrix

$Pr\left\{T\mathrm{<mo>\; |\; </mo>}Y\right\}\to$

Probability of event T occurring in event Y

$0\to$

A zero matrix with appropriate dimensions

$I_{\mathcal{l}}\to$

An identity matrix with appropriate dimensions