* Exemplo 4.4(b);
options nocenter ps=1000;
proc iml;
reset fuzz;
mi = {2,5,-2,1};
Sigma = {9 0 3 3, 0 1 -1 2, 3 -1 6 -3, 3 2 -3 7};
print v mi Sigma;

Ay = {1 0 0 0};
mi_y = Ay*mi;
Sigma_yy = Ay*Sigma*t(Ay);

Ax = {0 1 0 0, 0 0 1 0, 0 0 0 1};
mi_x = Ax*mi;
Sigma_xx = Ax*Sigma*t(Ax);

Sigma_yx = Ay*Sigma*t(Ax);
print mi_y Sigma_yy,, mi_x Sigma_xx,, Sigma_yx;

cov_ydx = Sigma_yy-Sigma_yx*inv(Sigma_xx)*t(Sigma_yx);

print Sigma_yy[format=6.0],, cov_ydx[format=6.2];
quit;