2

Suppose $\begin{bmatrix} x_1 \\ x_2 \end{bmatrix} \sim N(\mu, \Sigma)$, where $x_1, X_2$ are vectors.

I understand the formula for the conditional distribution $P(X_1|X_2)$, but does anyone know how I can get $P(X_1 | X_2>z)$?

Or more generally: $$ P\left(X_1 | \begin{bmatrix} x_{21} > z_1 \\ x_{22} > z_2 \\ x_{23}>z_3 \\... \end{bmatrix} \right) $$

Jarle Tufto
  • 10,939
  • Some similar questions: https://stats.stackexchange.com/questions/444925/how-do-i-find-the-conditional-distribution-of-a-normal-r-v-z-given-that-i-kno, https://stats.stackexchange.com/questions/269225/conditional-multi-variate-normal-distribution, https://stats.stackexchange.com/questions/281007/conditional-distribution-of-a-normal-distribution-given-it-is-smaller-bigger-tha – kjetil b halvorsen Mar 06 '24 at 15:23

0 Answers0