Path: news.mathworks.com!not-for-mail
From: "Tomaz " <tomaz.bartolj@gmail.com>
Newsgroups: comp.soft-sys.matlab
Subject: Re: Conditional sampling from multivariate normal distribution
Date: Tue, 20 Apr 2010 21:46:04 +0000 (UTC)
Organization: Universiteit van Tilburg
Lines: 25
Message-ID: <hql7as$q6n$1@fred.mathworks.com>
References: <hpuqjr$295$1@fred.mathworks.com> <hpv9rm$n2d$1@fred.mathworks.com> <hpvif0$9ih$1@fred.mathworks.com> <hpvk44$2if$1@fred.mathworks.com> <hpvm38$t4c$1@fred.mathworks.com> <hpvrtp$iun$1@fred.mathworks.com>
Reply-To: "Tomaz " <tomaz.bartolj@gmail.com>
NNTP-Posting-Host: webapp-03-blr.mathworks.com
Content-Type: text/plain; charset=UTF-8; format=flowed
Content-Transfer-Encoding: 8bit
X-Trace: fred.mathworks.com 1271799964 26839 172.30.248.38 (20 Apr 2010 21:46:04 GMT)
X-Complaints-To: news@mathworks.com
NNTP-Posting-Date: Tue, 20 Apr 2010 21:46:04 +0000 (UTC)
X-Newsreader: MATLAB Central Newsreader 2037399
Xref: news.mathworks.com comp.soft-sys.matlab:628294

Peter Perkins <Peter.Perkins@MathRemoveThisWorks.com> wrote in message <hpvrtp$iun$1@fred.mathworks.com>...
> On 4/12/2010 1:43 PM, Tomaz wrote:
> 
> > Could you please just tell
> > me what would be 'statistical expression' that describes my problem the
> > best? Is it 'Conditional sampling', 'Conditional distributions' or
> > something else? Any synonyms/ alternatives? I am asking this to be able
> > to search for related data more efficiently...
> 
> I would think either of those, plus perhaps a "multivariate normal".  The same simple result does not hold for MVT, for example.

I tried really hard to understand the formulas and solve my problem, but I get stuck. Peter (or anybody else), I would really appreciate if you would point out where I go wrong. I tried to follow your directions and Wiki page, but this happens (look below). Should I change anything because of row/ column vector thing?

mu=mean (origData)
mu1=mu (1)
mu2 = mu (2:4)
sigma = cov (origData)
sigma11 = sigma (1:1, 1:1)
sigma12 = sigma (1:1, 2:4)
sigma21 = sigma (2:4, 1:1)
sigma22= sigma (2:4, 2:4)
  
sigma1_2 = sigma11 - sigma21*(sigma22\sigma12)
??? Error using ==> mldivide
Matrix dimensions must agree.