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A question about conditional mean

  1. Aug 17, 2013 #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


    where the index 'sub' (m by 1) is a subset of {1,2,..,n}, A is m by 1, 1 <= m < n.
  2. jcsd
  3. Aug 18, 2013 #2

    Stephen Tashi

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  4. Aug 18, 2013 #3
    Thanks a lot for the reference! This is the right answer. Actually, this is about the conditional distribution of multivariate normal variables, and well known in any standard textbook of basic statistics. However, I failed to realize this early. :(
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