I am trying to understand how does expectation and variance looks when
Let X,Y be bivariate normal
I want understand E[X|Z] and Var[X|Z]
when Z = X + Y
2
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2$\begingroup$ $(X,Z)$ is also bivariate normal, so $X$ given $Z$ is univariate normal. $\endgroup$– StubbornAtomCommented May 19, 2021 at 12:18
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1$\begingroup$ This is a FAQ: search our site for conditional normal expectation. $\endgroup$– whuber ♦Commented May 19, 2021 at 13:17
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