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How to draw this follwing picture ?

image description source: http://www.bzarg.com/p/how-a-kalman-filter-works-in-pictures/

I am learning how to draw object (shape) using opencv. I could draw circles with a specific color, but I don't know how to draw a circle with different color as shown in the picture.

Does anyone know how to draw this picture using opencv drawing function only. The shape does not have to be elips. It could be a circle or anything.

Thanks.