Question: 4.4 Suppose we have a vector z which has a multivariate normal distribution, z ~ N(, ) Let y = a'z for some k

4.4 Suppose we have a vector z which has a multivariate normal

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

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