Timeline for Deriving the conditional distributions of a multivariate normal distribution
Current License: CC BY-SA 4.0
11 events
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| Aug 1, 2023 at 21:27 | history | edited | Ben | CC BY-SA 4.0 |
added 28 characters in body
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| Nov 24, 2021 at 20:24 | comment | added | Ben | @CharlesChou: No, the moments $\boldsymbol{\mu}_*$ and $\boldsymbol{\Sigma}_*$ will not generally hold outside the normal distribution. (Also, note that the above is a conditional distribution, not a marginal distribution.) | |
| Nov 24, 2021 at 16:48 | comment | added | Charles Chou | Hi Ben. I am sorry for another question. Will the above marginal distribution hold if we don't assume normal distribution for $y_1$ and $y_2$. Then what's the conditional distribution for $y_1$ conditional $y_2$ without normal distribution? Or, is it possible to calculate the expectation and variance of $y_1$ conditional $y_2$ without normal distribution following your setup without normality assumption. Deeply appreciate for your help! Thanks | |
| Nov 23, 2021 at 19:10 | history | edited | Ben | CC BY-SA 4.0 |
Corrected spelling of Mahalanobis
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| S Nov 23, 2021 at 16:29 | history | suggested | Vidas | CC BY-SA 4.0 |
Changed several Sigma_12 Sigma^* into Sigma_21 Sigma^*
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| Nov 23, 2021 at 12:39 | review | Suggested edits | |||
| S Nov 23, 2021 at 16:29 | |||||
| Jul 19, 2021 at 21:51 | history | edited | Ben | CC BY-SA 4.0 |
Edited to remove notational inconsistency
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| Nov 16, 2020 at 21:46 | history | edited | Ben | CC BY-SA 4.0 |
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| Nov 16, 2020 at 21:31 | history | edited | Ben | CC BY-SA 4.0 |
Edit to correct error in decomposition
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| Feb 16, 2019 at 11:09 | history | edited | Ben | CC BY-SA 4.0 |
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| Feb 15, 2019 at 12:01 | history | answered | Ben | CC BY-SA 4.0 |