Thanks bpet, I'll look into that. The real-life covariance matrices won't be as extreme as that one, which was just given as an example. So hopefully I can get it working.
Cheers
That's right, though number of fixed coordinates will vary as will the size of the vector. The unfixed coordinates should have a probability distribution conditioned on the fixed values, if that makes sense.
Another way to put it: Suppose we have a two dimensional normal distribution with...
Hello all,
I wonder if anybody knows of a way of generating a random normal vector (i.e. a variate from a multivariate normal distribituion) in which one or more of the vector's values are fixed?. For example, I may want to choose a random vector from a four-dimensional multivariate normal...