Package for Multivariate (normal) Conditional Distribution

Hi! Is any package to get Multivariate (normal) Conditional Distribution?

Something like described here.

maybe other people jump in that know more, but this seems related:

in particular, also the last answer therein and reference to the conditional(P, A, B, xB) method from GaussianDistributions.jl which should do what you want.

essentially you could “just” calculate \mu_{1|2} and \Sigma_{1|2} yourself as described in your link and then sample from MvNormal(\mu_{1|2}, \Sigma_{1|2}) via Distributions.jl. Advantage of the above references may be a good numerical implementation for computing \mu_{1|2} and \Sigma_{1|2}.

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