Distribution of multivariate normal X given AX=b |
11.08.2015, 23:24 | FCunderC | Auf diesen Beitrag antworten » |
Distribution of multivariate normal X given AX=b Hello, there is the following problem: I have a multivariate normally distributed vector with and , a matrix and a vector . What is then the distribution of ? I think it will not be again normally distributed like itself. Especially, I am intersted in marginal distributions of , because it would be very nice, if e.g. the expectation could be calculated. Maybe someone has an idea or hint? Meine Ideen: The density of is . is again multivariate normal, but what is with (it is not normally distr.)? |
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