Hi Folks, Given k RVs with MVN distribution N(mu,S) (S a kxk covariance matrix), let (w.l.o.g.) X1 denote the first r of them, and X2 the last (k-r). Likewise, let mu1 and mu2 denote their respective expectations.
Then, of course, the expectation of X2 given X1=x1 is mu2 + S21*inv(S22)*(x1 - mu1) and the covariance matrix of X2 given X1=x2 is S22 - S21*inv(X11)*S12 where Sij is the matrix derived from S by taking the rows corresponding to the indices of Xi and the columns corresponding to the indices of Xj, and these define the MVN conditional distribution of X2 given X1=x1. While these are not difficult to write one's own functions for in R, I feel almost sure that they already exist somewhere, if only I could find them! So, are there standard functions for this in R? If so, in what library? With thanks, Ted. -------------------------------------------------------------------- E-Mail: (Ted Harding) <[EMAIL PROTECTED]> Fax-to-email: +44 (0)870 167 1972 Date: 06-Jul-03 Time: 17:37:57 ------------------------------ XFMail ------------------------------ ______________________________________________ [EMAIL PROTECTED] mailing list https://www.stat.math.ethz.ch/mailman/listinfo/r-help
