Question: 1. In the sequel (Xo, . .., Xk) denotes a (k + 1)-dimensional normally distributed random vector. a) Assume that (X1, . . ., Xk)

1. In the sequel (Xo, . .., Xk) denotes a (k + 1)-dimensional normally distributed random vector. a) Assume that (X1, . . ., Xk) is independent, and put I := {ie {1, ..., k} : o?(X;) > 0}. Show that E(Xo | (X1, . . ., Xk)) = > Cov(Xo, X.) /2(X;) . (X; - E(X;)) + E(Xo). iEl

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