6.3.9.6.3.1.4. statsmodels.sandbox.distributions.mv_normal.MVNormal.conditional

MVNormal.conditional(indices, values)

return conditional distribution

indices are the variables to keep, the complement is the conditioning set values are the values of the conditioning variables

ar{mu} = mu_1 + Sigma_{12} Sigma_{22}^{-1} left( a - mu_2

ight)

and covariance matrix

overline{Sigma} = Sigma_{11} - Sigma_{12} Sigma_{22}^{-1} Sigma_{21}.T

Parameters:

indices : array_like, int

list of indices of variables in the marginal distribution

given

: array_like

values of the conditioning variables

Returns:

mvn : instance of MVNormal

new instance of the MVNormal class that contains the conditional distribution of the variables given in indices for given

values of the excluded variables.