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Math Help - covariance

  1. #1
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    covariance

    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?
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  2. #2
    MHF Contributor matheagle's Avatar
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    I'm not sure if there is a question here.
    But this pdf has some useful info,
    http://www.stat.lsu.edu/faculty/mose...37/mvnprop.pdf
    and you need to start with normality to get the marginals and conditional distributions to be normal.
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  3. #3
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    thank you for your reply. I just want to know how to prove the covariance
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