January 2025
Intermediate to advanced
328 pages
8h 28m
English
2.1 Derive full conditionals p(xA|xB) for multivariate Gaussian distribution, where A and B are subsets of x1, x2, ..., xn of jointly Gaussian random variables.
Let’s partition our vector x into two subsets, xA and xB, and then we can write down the mean and covariance matrices in block form:
To compute the conditional distributions, we get the following result:
2.2 Derive marginals p(xA) and p(x