w********r
发帖数: 290 | 1 X (n by 1) follows a multivariate normal distribution, i.e.,
X ~ N(mu, Sigma). mu is n by 1, Sigma is n by n.
What is
E(X|X_{sub}=A)?
where the index 'sub' (m by 1) is a subset of {1,2,..,n}, A is m by 1, 1 <=
m < n. | B****n
发帖数: 11290 | 2 You can easily find it out in most standard textbooks of multivariate
analysis.
=
【在 w********r 的大作中提到】
: X (n by 1) follows a multivariate normal distribution, i.e.,
: X ~ N(mu, Sigma). mu is n by 1, Sigma is n by n.
: What is
: E(X|X_{sub}=A)?
: where the index 'sub' (m by 1) is a subset of {1,2,..,n}, A is m by 1, 1 <=
: m < n.
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