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Q113Section III (Statistics)113 of 145

Conditional covariance: the Schur complement Σ11−Σ12Σ22−1Σ21\Sigma_{11}-\Sigma_{12}\Sigma_{22}^{-1}\Sigma_{21}

Let X‾∼Np(μ‾,Σ)\underline X\sim N_p(\underline\mu,\Sigma) be partitioned into X‾(1)\underline X^{(1)} (qq components) and X‾(2)\underline X^{(2)} (p−qp-q components), with μ‾\underline\mu and Σ\Sigma partitioned accordingly. Then the variance covariance matrix of the conditional distribution of X‾(1)\underline X^{(1)} given X‾(2)\underline X^{(2)} is:

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