[R] Conditional Distribution of MVN variates

(Ted Harding) Ted.Harding at nessie.mcc.ac.uk
Mon Jul 7 13:36:33 CEST 2003

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,

E-Mail: (Ted Harding) <Ted.Harding at nessie.mcc.ac.uk>
Fax-to-email: +44 (0)870 167 1972
Date: 07-Jul-03                                       Time: 12:36:33
------------------------------ XFMail ------------------------------

More information about the R-help mailing list