On 06-Jul-03 Ted Harding wrote:
> 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
OOPS!! Typos:
>*** mu2 + S21*inv(S22)*(x1 - mu1)
should of course be
mu2 + S21*inv(S11)*(x1 - mu1)
> and the covariance matrix of X2 given X1=x2 is
>
>*** S22 - S21*inv(X11)*S12
should be
S22 - S21*inv(S11)*S12
> [...]
> So, are there standard functions for this in R? If so, in what library?
>
> With thanks,
> Ted.
Sorry about the typos.
Anyway, can R say "here's one I prepared earlier"?
Thanks again,
Ted.
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Date: 07-Jul-03 Time: 12:36:33
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