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Conditinal Expectation Problem

  1. May 4, 2008 #1
    Given x,y and z are standard normal distributions with mean 0 and standard deviation 1. x,y and z are also statistically independent.

    Find E{x|x+y+z=1}.
  2. jcsd
  3. May 4, 2008 #2
    symmetry of x, y, and z. For example, interchanging x and y in E[x| x+y+z=1] to get E[y|y+x+z = 1] doesn't change its value.
  4. May 5, 2008 #3
    I am not able to understand what you are refering to. Could you please explain. Thanks.
  5. May 5, 2008 #4
    Sure thing... If I understand the problem correctly, it doesn't really matter what the exact distributions of x, y, and z are. It only matters that they are identically distributed. Also, note that the condition x+y+z = 1 is unchanged by permuting the letters x,y,z. This, together with their being identically distributed means that

    E{x|x+y+z=1} = E{y|x+y+z=1} = E{z|x+y+z=1}

    Also, think about what E{x+y+z|x+y+z=1} would be, and remember the additive property of the expected value.

    edit: think simple. no hard integrals needed, which was the first thing that came to my mind when I read the problem.
    Last edited: May 5, 2008
  6. May 6, 2008 #5
    I left something out....it is also important that x,y,z are statistically independent. If, for example, x and y were statistically dependent, but x and z were not, then that would create an asymmetry and you could no longer conclude that the expected values of x, y, and z were equal.
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