4.4 Suppose we have a vector z which has a multivariate normal distribution, z ~ N(,...

 

Transcribed Image Text:

4.4 Suppose we have a vector z which has a multivariate normal distribution, z ~ N(μ₂, Σ) Let y = a'z for some k x 1 vector a, and let x = Bz for some p x k matrix B. Using (A.17) and (A.18) in Appendix A.7, show that the conditional distribution of ylx is normal and that the conditional mean is a linear function of x. Get expressions for the parameters of the conditional distribution. 4.4 Suppose we have a vector z which has a multivariate normal distribution, z ~ N(μ₂, Σ) Let y = a'z for some k x 1 vector a, and let x = Bz for some p x k matrix B. Using (A.17) and (A.18) in Appendix A.7, show that the conditional distribution of ylx is normal and that the conditional mean is a linear function of x. Get expressions for the parameters of the conditional distribution.

Answer rating: 100% (QA)

multivariate Normal distribution and defined as 2 212 X My 462 X Z We need to factorize fx ... View the full answer