1.8. Gaussian conditioning. Consider the Gaussian vector (X1?,X2?,X3?) of mean 0 and covariance ???211?121?112???? Compute E[X3??X1?,X2?] and E[eaX3??X1?,X2?]. What is the conditional distribution of X3? given X1? and X2? ? It might be helpful to work out Exercise 2.10 first.

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