Skip to main content
added 17 characters in body
Source Link
user72621
user72621

Let $Z=X+Y$ where $X \sim N(\mu,\sigma^2)$ and $Y \sim N(0,1)$ are independents. What is the conditional density of X given Z, $f_{X|Z}(x|z)$?

I already found that $f_{X,Z}(x,z)=\frac{1}{2\pi\sigma}e^{-\frac{1}{2\sigma^2}[(x-\mu)^2+\sigma^2(x-z)^2]}$ and $Z \sim N(\mu,\sigma^2+1)$

$$f_{X|Z}(x|z)=\frac{f_{X,Z}(x,z)}{f_Z(z)}=\frac{\frac{1}{2\pi\sigma}e^{-\frac{1}{2\sigma^2}[(x-\mu)^2+\sigma^2(x-z)^2]}}{\frac{1}{\sqrt{2\pi}\sqrt{\sigma^2+1}}e^{-\frac{1}{2(\sigma^2+1)}(z-u)^2}}$$ $$f_{X|Z}(x|z)=\frac{\sqrt{\sigma^2+1}}{\sqrt{2\pi}\sigma}e^{-\frac{1}{2\sigma^2}[(x-\mu)^2+\sigma^2(x-z)^2]+\frac{1}{(2\sigma^2+1)}(z-\mu)^2}$$ After some simplifications I get $$f_{X|Z}(x|z)=\frac{\sqrt{\sigma^2+1}}{\sqrt{2\pi}\sigma}e^{\frac{1}{2\sigma^2(\sigma^2+1)}[-(\sigma^2+1)(x^2-2\mu x+\sigma^2(x^2-2zx)-2\sigma^2\mu z]}$$

from here I'm stuck,Is there any easier way to find the conditional?

Let $Z=X+Y$ where $X \sim N(\mu,\sigma^2)$ and $Y \sim N(0,1)$. What is the conditional density of X given Z, $f_{X|Z}(x|z)$?

I already found that $f_{X,Z}(x,z)=\frac{1}{2\pi\sigma}e^{-\frac{1}{2\sigma^2}[(x-\mu)^2+\sigma^2(x-z)^2]}$ and $Z \sim N(\mu,\sigma^2+1)$

$$f_{X|Z}(x|z)=\frac{f_{X,Z}(x,z)}{f_Z(z)}=\frac{\frac{1}{2\pi\sigma}e^{-\frac{1}{2\sigma^2}[(x-\mu)^2+\sigma^2(x-z)^2]}}{\frac{1}{\sqrt{2\pi}\sqrt{\sigma^2+1}}e^{-\frac{1}{2(\sigma^2+1)}(z-u)^2}}$$ $$f_{X|Z}(x|z)=\frac{\sqrt{\sigma^2+1}}{\sqrt{2\pi}\sigma}e^{-\frac{1}{2\sigma^2}[(x-\mu)^2+\sigma^2(x-z)^2]+\frac{1}{(2\sigma^2+1)}(z-\mu)^2}$$ After some simplifications I get $$f_{X|Z}(x|z)=\frac{\sqrt{\sigma^2+1}}{\sqrt{2\pi}\sigma}e^{\frac{1}{2\sigma^2(\sigma^2+1)}[-(\sigma^2+1)(x^2-2\mu x+\sigma^2(x^2-2zx)-2\sigma^2\mu z]}$$

from here I'm stuck,Is there any easier way to find the conditional?

Let $Z=X+Y$ where $X \sim N(\mu,\sigma^2)$ and $Y \sim N(0,1)$ are independents. What is the conditional density of X given Z, $f_{X|Z}(x|z)$?

I already found that $f_{X,Z}(x,z)=\frac{1}{2\pi\sigma}e^{-\frac{1}{2\sigma^2}[(x-\mu)^2+\sigma^2(x-z)^2]}$ and $Z \sim N(\mu,\sigma^2+1)$

$$f_{X|Z}(x|z)=\frac{f_{X,Z}(x,z)}{f_Z(z)}=\frac{\frac{1}{2\pi\sigma}e^{-\frac{1}{2\sigma^2}[(x-\mu)^2+\sigma^2(x-z)^2]}}{\frac{1}{\sqrt{2\pi}\sqrt{\sigma^2+1}}e^{-\frac{1}{2(\sigma^2+1)}(z-u)^2}}$$ $$f_{X|Z}(x|z)=\frac{\sqrt{\sigma^2+1}}{\sqrt{2\pi}\sigma}e^{-\frac{1}{2\sigma^2}[(x-\mu)^2+\sigma^2(x-z)^2]+\frac{1}{(2\sigma^2+1)}(z-\mu)^2}$$ After some simplifications I get $$f_{X|Z}(x|z)=\frac{\sqrt{\sigma^2+1}}{\sqrt{2\pi}\sigma}e^{\frac{1}{2\sigma^2(\sigma^2+1)}[-(\sigma^2+1)(x^2-2\mu x+\sigma^2(x^2-2zx)-2\sigma^2\mu z]}$$

from here I'm stuck,Is there any easier way to find the conditional?

added 49 characters in body
Source Link
user72621
user72621

Let $Z=X+Y$ where $X \sim N(\mu,\sigma^2)$ and $Y \sim N(0,1)$. What is the conditional density of X given Z, $f_{X|Z}(x|z)$?

I already found that $f_{X,Z}(x,z)=\frac{1}{2\pi\sigma}e^{-\frac{1}{2\sigma^2}[(x-\mu)^2+\sigma^2(x-z)^2]}$ and $Z \sim N(\mu,\sigma^2+1)$

$$f_{X|Z}(x|z)=\frac{f_{X,Z}(x,z)}{f_Z(z)}=\frac{\frac{1}{2\pi\sigma}e^{-\frac{1}{2\sigma^2}[(x-\mu)^2+\sigma^2(x-z)^2]}}{\frac{1}{\sqrt{2\pi}\sqrt{\sigma^2+1}}e^{-\frac{1}{2(\sigma^2+1)}(z-u)^2}}$$ $$f_{X|Z}(x|z)=\frac{\sqrt{\sigma^2+1}}{\sqrt{2\pi}\sigma}e^{-\frac{1}{2\sigma^2}[(x-\mu)^2+\sigma^2(x-z)^2]+\frac{1}{(2\sigma^2+1)}(z-\mu)^2}$$ After some simplifications I get $$f_{X|Z}(x|z)=\frac{\sqrt{\sigma^2+1}}{\sqrt{2\pi}\sigma}e^{\frac{1}{2\sigma^2(\sigma^2+1)}[-(\sigma^2+1)(x^2-2\mu x+\sigma^2(x^2-2zx)-2\sigma^2\mu z]}$$

from here I'm stuck,Is there any easier way to find the conditional?

Let $Z=X+Y$ where $X \sim N(\mu,\sigma^2)$ and $Y \sim N(0,1)$. What is the conditional density of X given Z, $f_{X|Z}(x|z)$?

I already found that $f_{X,Z}(x,z)=\frac{1}{2\pi\sigma}e^{-\frac{1}{2\sigma^2}[(x-\mu)^2+\sigma^2(x-z)^2]}$ and $Z \sim N(\mu,\sigma^2+1)$

$$f_{X|Z}(x|z)=\frac{f_{X,Z}(x,z)}{f_Z(z)}=\frac{\frac{1}{2\pi\sigma}e^{-\frac{1}{2\sigma^2}[(x-\mu)^2+\sigma^2(x-z)^2]}}{\frac{1}{\sqrt{2\pi}\sqrt{\sigma^2+1}}e^{-\frac{1}{2(\sigma^2+1)}(z-u)^2}}$$ $$f_{X|Z}(x|z)=\frac{\sqrt{\sigma^2+1}}{\sqrt{2\pi}\sigma}e^{-\frac{1}{2\sigma^2}[(x-\mu)^2+\sigma^2(x-z)^2]+\frac{1}{(2\sigma^2+1)}(z-\mu)^2}$$ After some simplifications I get $$f_{X|Z}(x|z)=\frac{\sqrt{\sigma^2+1}}{\sqrt{2\pi}\sigma}e^{\frac{1}{2\sigma^2(\sigma^2+1)}[-(\sigma^2+1)(x^2-2\mu x+\sigma^2(x^2-2zx)-2\sigma^2\mu z]}$$

from here I'm stuck

Let $Z=X+Y$ where $X \sim N(\mu,\sigma^2)$ and $Y \sim N(0,1)$. What is the conditional density of X given Z, $f_{X|Z}(x|z)$?

I already found that $f_{X,Z}(x,z)=\frac{1}{2\pi\sigma}e^{-\frac{1}{2\sigma^2}[(x-\mu)^2+\sigma^2(x-z)^2]}$ and $Z \sim N(\mu,\sigma^2+1)$

$$f_{X|Z}(x|z)=\frac{f_{X,Z}(x,z)}{f_Z(z)}=\frac{\frac{1}{2\pi\sigma}e^{-\frac{1}{2\sigma^2}[(x-\mu)^2+\sigma^2(x-z)^2]}}{\frac{1}{\sqrt{2\pi}\sqrt{\sigma^2+1}}e^{-\frac{1}{2(\sigma^2+1)}(z-u)^2}}$$ $$f_{X|Z}(x|z)=\frac{\sqrt{\sigma^2+1}}{\sqrt{2\pi}\sigma}e^{-\frac{1}{2\sigma^2}[(x-\mu)^2+\sigma^2(x-z)^2]+\frac{1}{(2\sigma^2+1)}(z-\mu)^2}$$ After some simplifications I get $$f_{X|Z}(x|z)=\frac{\sqrt{\sigma^2+1}}{\sqrt{2\pi}\sigma}e^{\frac{1}{2\sigma^2(\sigma^2+1)}[-(\sigma^2+1)(x^2-2\mu x+\sigma^2(x^2-2zx)-2\sigma^2\mu z]}$$

from here I'm stuck,Is there any easier way to find the conditional?

Source Link
user72621
user72621

Conditional density of bivariate normal and normal

Let $Z=X+Y$ where $X \sim N(\mu,\sigma^2)$ and $Y \sim N(0,1)$. What is the conditional density of X given Z, $f_{X|Z}(x|z)$?

I already found that $f_{X,Z}(x,z)=\frac{1}{2\pi\sigma}e^{-\frac{1}{2\sigma^2}[(x-\mu)^2+\sigma^2(x-z)^2]}$ and $Z \sim N(\mu,\sigma^2+1)$

$$f_{X|Z}(x|z)=\frac{f_{X,Z}(x,z)}{f_Z(z)}=\frac{\frac{1}{2\pi\sigma}e^{-\frac{1}{2\sigma^2}[(x-\mu)^2+\sigma^2(x-z)^2]}}{\frac{1}{\sqrt{2\pi}\sqrt{\sigma^2+1}}e^{-\frac{1}{2(\sigma^2+1)}(z-u)^2}}$$ $$f_{X|Z}(x|z)=\frac{\sqrt{\sigma^2+1}}{\sqrt{2\pi}\sigma}e^{-\frac{1}{2\sigma^2}[(x-\mu)^2+\sigma^2(x-z)^2]+\frac{1}{(2\sigma^2+1)}(z-\mu)^2}$$ After some simplifications I get $$f_{X|Z}(x|z)=\frac{\sqrt{\sigma^2+1}}{\sqrt{2\pi}\sigma}e^{\frac{1}{2\sigma^2(\sigma^2+1)}[-(\sigma^2+1)(x^2-2\mu x+\sigma^2(x^2-2zx)-2\sigma^2\mu z]}$$

from here I'm stuck