Starting from the general form of the joint Gaussian PDF in Equation (5.40) and using the results of Exercise 5.35, show that conditioned on Y = y, X is Gaussian with a mean of μx + ρXY (σX / σY) (y €“ μY) and a variance of σ2X (1 €“ ρ2XY.
In Equation 5.40

Transcribed Image Text:

exp X,I 2( 1-Fr.)