# variance of conditional multivariate gaussian

I was playing around with Gaussian Distributions on my machine and I was interesting in making a pretty plot. I wanted to show the distribution of $$x_1$$ if $$x_2$$ was given if $$x_1,x_2$$ were distributed by a multivariate normal distribution. The image feels "wrong". I would imagine that the red likelihood in the center of the blue distribution would be wider than at the edge. After double checking the code, I notice it might be the maths.

Maths on wikipedia as well as my books confirm that the distribution of $$x_1$$ conditional on $$x_2$$ = $$a$$ is multivariate normal $$(x_1 | x_2 = a) \sim N(\hat{\mu}, \hat{\Sigma})$$ where

$$\bar{\boldsymbol\mu} = \boldsymbol\mu_1 + \boldsymbol\Sigma_{12} \boldsymbol\Sigma_{22}^{-1} \left( \mathbf{a} - \boldsymbol\mu_2 \right)$$

and covariance matrix

$$\overline{\boldsymbol\Sigma} = \boldsymbol\Sigma_{11} - \boldsymbol\Sigma_{12} \boldsymbol\Sigma_{22}^{-1} \boldsymbol\Sigma_{21}.$$

When looking at the maths, it seems that the variance of $$p(x_1|x_2 = a)$$ does not depend on the value of $$a$$. This is starting to feel very counter intuitive so I am wondering if I am missing something.

### The code that generated the plot

import matplotlib.pylab as plt

import torch
from torch.distributions import Normal as norm
from torch.distributions.multivariate_normal import MultivariateNormal as mvnorm

#@title different given values { run: "auto" }
g1 = -3.5 #@param {type:"slider", min:-4, max:4, step:0.1}
g2 = 0.2 #@param {type:"slider", min:-4, max:4, step:0.1}
g3 = 2.9 #@param {type:"slider", min:-4, max:4, step:0.1}

m = torch.tensor([0.0, 0.0])
c = torch.tensor([[1.0, 0.9], [0.9, 1.0]])

s = mvnorm(m, c).sample(sample_shape=(5000,))
s_np = s.numpy().reshape(5000, 2)
plt.figure(figsize=(6,5))
plt.scatter(s_np[:, 0], s_np[:, 1], alpha=0.3)

for g in [g1, g2, g3]:
mu_pred = m + c/c*(g - m)
sigma_pred = c - c/c*c
fitted_distr = norm(mu_pred, sigma_pred)
print(f"g:{g:.3}, mu:{mu_pred:.2}, sigma:{sigma_pred:.4}")

xs = torch.linspace(-4, 4, 300)
likelihood = torch.exp(fitted_distr.log_prob(xs)).numpy()

plt.plot(xs.numpy(), g + likelihood, c='red')