Michael Scheltgen <[EMAIL PROTECTED]> wrote in message
[EMAIL PROTECTED]">news:[EMAIL PROTECTED]...
> 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 :)
Looks right to me.
Glen
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