Question: that Given that two random vectors x and z are jointly Gaussian, show 2Pyy-1/2-(y-y) Py(y-y) 2P21/2e-(2-2) P (z-z) where y = [x ZTT p(x|z)

that Given that two random vectors x and z are jointly Gaussian,

that Given that two random vectors x and z are jointly Gaussian, show 2Pyy-1/2-(y-y) Py(y-y) 2P21/2e-(2-2) P (z-z) where y = [x ZTT p(x|z) = p(x,z) p(z) is Gaussian with mean and covariance given by " = x+PzzP(z-z) 22 PT - PEPPEL 22 (6)

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