X (n by 1) follows a multivariate normal distribution, i.e.,(adsbygoogle = window.adsbygoogle || []).push({});

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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# A question about conditional mean

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