DeLorean (version 1.5.0)

gaussian.condition: Condition a Gaussian on another. See Eqn. A.6 on page 200 of Rasmussen and Williams' book.

Description

Condition a Gaussian on another. See Eqn. A.6 on page 200 of Rasmussen and Williams' book.

Usage

gaussian.condition(y, .A, .B, .C, mu.x = rep(0, nrow(.A)),
  mu.y = rep(0, nrow(.B)), U = chol(.B))

Arguments

y

y

.A

Var(X)

.B

Var(Y)

.C

Cov(X, Y)

mu.x

Mean of x

mu.y

Mean of y

U

Cholesky decomposition of .B