scalars	Lower-case, non-bold letters represent scalar quantities, e.g., x.
vectors	Lower-case, bold letters represent vector quantities, e.g., x. Vectors are assumed to be column vectors.
matrices	Upper-case, bold letters represent matrix values, e.g., A.
sets	Calligraphic, upper-case letters represent sets, e.g., . In some cases, if a set of values can be easily converted to a vector by stacking all of the values in the set, . represents that stacked vector.
A⊤	Implies the transpose of the matrix A.
time indices	Subscripts denote time indices, e.g., xk is the value of x at time step k.
functions	Lower-case letters followed by parentheses represent functions, e.g., f(x) is a function of x. To avoid confusion, if multiplication is implied by parentheses, a space will be placed between the letter and the parentheses, e.g., K(z – h(x)) represents the matrix K multiplied by the difference between z and the function h of x.
N(0, Σ)	Represents a zero-mean normal distribution with covariance Σ.
	Denotes the 2-norm of the vector v weighted by the covariance matrix A, i.e., .
p(x)	Represents the probability distribution of the random variable x.