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  • L-10 Conditional Expectation PDF

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    Syed Md. Affanul Karim Shourav
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    The document discusses conditional expectation and variance for discrete and continuous random variables. For discrete variables, conditional expectation of Y given X=x is the sum of all possible values of Y multiplied by their probabilities, given X=x. Conditional variance is defined similarly using the squared differences from the conditional expectation. For continuous variables, conditional expectation is defined as an integral of all possible y values weighted by the joint probability density function of X and Y, given X=x. Conditional variance is defined using a similar integral with the squared differences from the conditional expectation. An example is provided to demonstrate calculating the conditional expectation of X given Y=2 using a joint probability density function.

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    The document discusses conditional expectation and variance for discrete and continuous random variables. For discrete variables, conditional expectation of Y given X=x is the sum of all possible values of Y multiplied by their probabilities, given X=x. Conditional variance is defined similarly using the squared differences from the conditional expectation. For continuous variables, conditional expectation is defined as an integral of all possible y values weighted by the joint probability density function of X and Y, given X=x. Conditional variance is defined using a similar integral with the squared differences from the conditional expectation. An example is provided to demonstrate calculating the conditional expectation of X given Y=2 using a joint probability density function.

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    84 views3 pages

    L-10 Conditional Expectation PDF

    Uploaded by

    Syed Md. Affanul Karim Shourav
    The document discusses conditional expectation and variance for discrete and continuous random variables. For discrete variables, conditional expectation of Y given X=x is the sum of all possible values of Y multiplied by their probabilities, given X=x. Conditional variance is defined similarly using the squared differences from the conditional expectation. For continuous variables, conditional expectation is defined as an integral of all possible y values weighted by the joint probability density function of X and Y, given X=x. Conditional variance is defined using a similar integral with the squared differences from the conditional expectation. An example is provided to demonstrate calculating the conditional expectation of X given Y=2 using a joint probability density function.

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    of 3

    Conditional Expectation

    • For X, Y discrete random variables, the conditional expectation of Y given


    X = x is

    and the conditional variance of Y given X = x is

    where these are defined only if the sums converges absolutely.

    • In general,

    week 4 1
    • For X, Y continuous random variables, the conditional expectation of
    Y given X = x is

    and the conditional variance of Y given X = x is

    • In general,

    week 4 2
    Example

    • Suppose X, Y are continuous random variables with joint density function

    • Find E(X | Y = 2).

    week 4 3

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