Suppose X1, X2, X3, and X4 have a multivariate Normal Dist'n
with mean vector u,
and Covariance matrix, sigma.
(a) Suppose it is known that X3 = x3 and X4 = x4. What is:
1)The expected value of X1
2)The expected value of X2
3)The variance of X1
4)The variance of X2
5)The correlation of X1 and X2
My approach was to find the conditional distribution, then
designate
E[X1] = u1 from the mean vector of the conditional dist'n
E[X2] = u2 from the mean vector of the conditional dist'n
same with the variance, etc...
Is this the correct approach? Thank you very much for your
comments :)
Best regards,
Mike Scheltgen
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