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Conditional Means and Covariances of Normal Variables with Singular Covariance Matrix

 

作者: George Marsaglia,  

 

期刊: Journal of the American Statistical Association  （Taylor Available online 1964）
卷期: Volume 59, issue 308  

页码: 1203-1204

 

ISSN:0162-1459

 

年代: 1964

 

DOI:10.1080/01621459.1964.10480761

 

出版商: Taylor & Francis Group

 

数据来源: Taylor

 

摘要:

This note gives formulas for conditional means and covariances—formulas which are valid even when the joint distribution is singular. The method is algebraic; it applies to any joint distribution for which independence and zero correlation are equivalent.

 

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