Condition a Gaussian on another. See Eqn. A.6 on page 200 of Rasmussen and Williams' book.
1 2 |
y |
y |
.A |
Var(X) |
.B |
Var(Y) |
.C |
Cov(X, Y) |
mu.x |
Mean of x |
mu.y |
Mean of y |
U |
Cholesky decomposition of .B |
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