Let X and Y be jointly Gaussian rv’s with means m X and m Y , covariance matrices [KX ] and [KY ] and cross covariance matrix [KX Y ]. Find the conditional probability density f X|Y (x|y). Assume that...

Let X and Y be jointly Gaussian rv’s with means m_X
and m_Y, covariance matrices [KX ] and [KY ] and cross covariance matrix [KX Y ]. Find the conditional probability density f_X|Y
(x|y). Assume that the covariance of (X T, Y T) is non-singular. Hint: think of the fluctuations of X and Y.