I have learned that the conditional distribution of X1, given that X2 = x2 is normal and has covariance = ∑11 - ∑12 (∑22 )^-1∑21
However, I realized that I was using the fact without knowing why?
How does covariance become like that? I was trying to figure it out from book and internet sources but I couldn't figure it out.
Can anyone help me? (Wink)
I'm not sure if there is a question here.
But this pdf has some useful info,
and you need to start with normality to get the marginals and conditional distributions to be normal.
thank you for your reply. I just want to know how to prove the covariance