Suppose we have 4 normally distributed variables X1, X2, X3 and X4. The covariance matrix and mean values of X1 and X2 are given. Is there a way to determine the mean values of variables X3 and X4?
Finding mean values, given the covariance matrix and some means
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statistics
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0I forgot to mention the fact that the variables are all normally distributed, but I guess that doesn't change much. – 2012-04-08
1 Answers
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No, you know nothing about the means of $X_3$ and $X_4$.
Suppose you let $Y_3 = X_3 + k_3$ and $Y_4 = X_4 + k_4$ for real constants $k_3$ and $k_4$.
Then looking at $X_1$, $X_2$, $Y_3$ and $Y_4$: the means of $X_1$ and $X_2$ would still be the same, and the covariance matrix would also be the same, even though the means of the third and fourth variables had changed by arbitrary amounts.