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Q112Section III (Statistics)112 of 145

The regression of X(1)X^{(1)} on X(2)X^{(2)} is the conditional mean

If X‾∼Np(μ‾,Σ)\underline X\sim N_p(\underline\mu,\Sigma) is partitioned into X‾(1)\underline X^{(1)} (qq components) and X‾(2)\underline X^{(2)} (p−qp-q components), then the regression line of X‾(1)\underline X^{(1)} on X‾(2)\underline X^{(2)} will be equal to:

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