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Q 7.2. Suppose X₁, X2 and X3 have a joint Gaussian distribution with covariance matrix 2 1 1 1 2 1 1 2 find the conditional covariance of X₁ and X2 given X3. 6x₁x₁x₁ = = =

Q 7.2. Suppose X₁, X2 and X3 have a joint Gaussian distribution with covariance matrix 2 1 1 1 2 1 1 2 find the conditional covariance of X₁ and X2 given X3. 6x₁x₁x₁ = = =

A First Course in Probability (10th Edition)
A First Course in Probability (10th Edition)
10th Edition
ISBN:9780134753119
Author:Sheldon Ross
Publisher:Sheldon Ross
Chapter1: Combinatorial Analysis
Section: Chapter Questions
Problem 1.1P: a. How many different 7-place license plates are possible if the first 2 places are for letters and...
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Proposition 5.5 (Equation for the regression line). Suppose X and Y have a joint distribu- tion which is Gaussian, with the means and variances of X and Y being µx, µy, of >0 and of > 0. Suppose the covariance between X and Y is oxy and that ª ozy < ozo}. Then the conditional distribution of Y given X = x ER is the Gaussian distribution with mean α 2 2 2 2 Y OXY |Y|X=x = |y+ (x-µx) .2 0²/12 X and variance of x = of - Xx 2 XY 2 X
Transcribed Image Text:Proposition 5.5 (Equation for the regression line). Suppose X and Y have a joint distribu- tion which is Gaussian, with the means and variances of X and Y being µx, µy, of >0 and of > 0. Suppose the covariance between X and Y is oxy and that ª ozy < ozo}. Then the conditional distribution of Y given X = x ER is the Gaussian distribution with mean α 2 2 2 2 Y OXY |Y|X=x = |y+ (x-µx) .2 0²/12 X and variance of x = of - Xx 2 XY 2 X
Q 7.2. Suppose X₁, X₂ and X3 have a joint Gaussian distribution with covariance matrix 2 1 1 (H) 1 2 1 1 12 find the conditional covariance of X₁ and X2 given X3. 2 6x₁₁x₁1x₁ = 1/2/2 X₂|X3
Transcribed Image Text:Q 7.2. Suppose X₁, X₂ and X3 have a joint Gaussian distribution with covariance matrix 2 1 1 (H) 1 2 1 1 12 find the conditional covariance of X₁ and X2 given X3. 2 6x₁₁x₁1x₁ = 1/2/2 X₂|X3
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