Suppose I have two continuous random variables $X$ and $Z$, $X$ and $Z$ are not independent. While I know that $Z \sim \mathcal{N}(0, 1)$, I have no information for the distribution of $X$. Now one of my friend said that the conditional distribution $p(Z|X)$ should also be a Gaussian. I am not sure if it's correct or not?
2026-04-23 21:05:35.1776978335
Conditional distribution of two random variables.
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