Let $X$ be a normally distributed random vector with mean vector $\mu$ and covariance matrix $\Sigma$. Also, let Y be a random vector such that $Y = a^TX$ where $a$ is a constant vector. How would I go about computing E(X|Y = y).
2026-02-23 10:59:06.1771844346
Expected value of $X$ given $a^TX$ if X has a multivariate normal distribution.
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