[Numpy-discussion] Conditional random variables

[josef.pktd at gmail.com]

On Tue, Jul 5, 2011 at 12:26 PM, Ted To <rainexpected at theo.to> wrote:
> On 07/05/2011 11:07 AM, josef.pktd at gmail.com wrote:
>> For example sample x>=U and then sample y>=u-x. That's two univariate
>> normal samples.
>
> Ah, that's what I was looking for!  Many thanks!

just in case I wasn't clear, if x and y are correlated, then y: y>u-x
needs to be sampled from the conditional distribution y|x
http://en.wikipedia.org/wiki/Multivariate_normal_distribution#Conditional_distributions

Josef

> _______________________________________________
> NumPy-Discussion mailing list
> NumPy-Discussion at scipy.org
> http://mail.scipy.org/mailman/listinfo/numpy-discussion
>