Calculate the conditional mean of a multivariate normal distribution

See e.g. Chapter 8.1.2 in The Matrix Cookbook.

Usage

conditional_Sigma(x_a, mu_a, mu_b, Sigma)

Arguments

x_a

(Observed) first part of normally distributed vector.

mu_a

Mean of second part of normally distributed vector.

mu_b

Mean of first part of normally distributed vector.

Sigma

covariance matrix of test statistic vector c(Z_TP1, Z_TP2, Z_TC1, Z_TC2).

Value

numeric vector with the conditional covariance matrix

References

Petersen, K. B., & Pedersen, M. S. (2008). The matrix cookbook. Technical University of Denmark, 7(15), 510.