Re: conditional multivariate normal distribution

jstar wrote:
Hi all

First of all, I am new here but I am not new to statistics. But I
need your help on this one:

I do have a multivariate normal distribution: x~p(mu,sig)

the vector x has to groups of variables, those that I know are below
zero (x_bz), and those that I know are above zero (x_az).
I am interested in the conditional distribution of the x above zero:
p(x_az|x_bz<0). Can someone help me derive this distribution or is
this a known distribution I was to stupid to find?


It is not something for which there are simple formulae, although there may be something for the 2 variate case. General formulae can be derived by working with the multivariate CDF to get first a conditional multivariate CDF and then the correspnsing density if necessary.

David Jones
.

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