I have the following exercise:
a) Consider the following decomposition ( omega is supposed to be a matrix).
Show that conditional is , where p is the dimension of .
This one, I have shown.
b) Let . Find the conditional where . In which case this distribution doesn't depend on ?
This one is causing me trouble. I stated by writing explicitly the product in but it gets me nowhere.
Thank you in advance for taking time to answer my question.