Calculate conditional multivariate normal values

Calculate conditional multivariate normal values

Usage

cond_mvn(mu, Sigma, i, xi, full_output = FALSE)

Arguments

mu

mean vector

Sigma

covariance matrix

i

index of the known parameter (1-based index)

xi

known value of the i-th parameter

full_output

boolean indicating whether to return the full list of parameters

Value

List of length 2, one with new mu and other with covariance parameters

Details

Function to compute conditional multivariate normal values

Examples

mu <- c(1, 2, 3)
Sigma <- matrix(c(0.2, 0.05, 0.1, 
                  0.05, 0.3, 0.05, 
                  0.1, 0.05, 0.4), nrow = 3)

i <- 1:2  # Index of the known parameter
xi <- c(1.2,2.3)  # Known value of the first parameter

cond_mvn(mu, Sigma, i, xi,full_output = TRUE)
#> $mean
#> [1] 1.200000 2.300000 3.121739
#> 
#> $covariance
#>      [,1] [,2]      [,3]
#> [1,]    0    0 0.0000000
#> [2,]    0    0 0.0000000
#> [3,]    0    0 0.3478261
#>