SI&DA - Property of Multivariate Gaussian RVs

Property of Multivariate Gaussian RVs

SIandDATheorem

→ SI&DA - Multivariate Distributions → SI&DA - Gaussian Random Variables

Given $X$ and $Y$ such that:

Where: $P_x:=$ Variance of $x$ $P_y:=$ Variance of $y$ $P_{xy}:=$ Cross-Covariance of $x$ and $y$ $P_{yx}:=$ Cross-Covariance of of $y$ and $x$

→ Then: