Calculate the conditional mean & variance of a random vector following a multivariate normal distribution

Description

Calculate the conditional mean & variance of a sub-vector of a random vector given the rest elements, where the random vector follows a multivariate normal distribution. This function calculates the conditional mean & variance of a multivariate normal distribution, with (meanVec, varMat), conditional on y at the indices conditionalIndex.

Usage

1
conditionalDistMvnorm(y, conditionalIndex, meanVec, varMat)

Arguments

y

the vector of the known values to be conditioned on.

conditionalIndex

the index to be conditioned on.

meanVec

the mean vector the joint multivariate normal distribution.

varMat

the variance-covariance matrix of the joint multivariate normal distribution.

Value

a list consisting of 'mean' and 'var' representing the conditional mean and variance respectively.

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