I am trying to understand how does expectation and variance looks when
Let X,Y be bivariate normal
I want understand E[X|Z] and Var[X|Z]
when Z = X + Y
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2$(X,Z)$ is also bivariate normal, so $X$ given $Z$ is univariate normal. – StubbornAtom May 19 '21 at 12:18
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1This is a FAQ: search our site for conditional normal expectation. – whuber May 19 '21 at 13:17