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Normal Random Variables : Proving conditional density of a probability density function ( pdf ).

A & B are 2 independent normal random variables.
A ~ N(0, σ2a); B ~ N(0, σ2b)
Set C = A + B with C being normal. fC|A(c|a) is normal.
Prove that conditional density fA|C(a|c) is normal for all values of y.


Solution Summary

Conditional density of a pdf is investigated.