The Book of Statistical Proofs
statproofbook.bsky.social
– a centralized, open and collaboratively edited archive of statistical theorems for the computational sciences. #StatProofBook #RandomProof
👤 Joined on 01 January 2025
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TIL about @statproofbook.bsky.social Cool project!
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Have a look here: stats.stackexchange.com/a/30600 The trick: choose A by the normal equation A Σ₂₂ = Σ₁₂ and see that X₁ − A X₂ is uncorrelated with X₂, and by Gaussianity also independent. So E[X₁∣X₂] = A X₂. Even works in the singular case.
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