Gaussian conditional expectation

For jointly Gaussian

(S, Y)

with

cov (S) = V

,

E [Y ∣ S] = E Y + cov (Y, S) V^{- 1} (S - E S) .

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Past exam of the mathematics course of the University of Cambridge / 2009 / ii / Paper 4 / 25J / Solution
Past exam of the mathematics course of the University of Cambridge / 2021 / iii / Paper 201 / 1 / d / Solution
Past exam of the mathematics course of the University of Cambridge / 2022 / iii / Paper 201 / 4 / a / Solution
Past exam of the mathematics course of the University of Cambridge / 2025 / iii / Paper 219 / 2 / d / Solution
Past exam of the mathematics course of the University of Cambridge / 2026 / ia / Paper 2 / 3F / ii / Solution
Past exam of the mathematics course of the University of Cambridge / 2026 / ii / Paper 1 / 30L / e / Solution

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