Conditional expectation (discrete + continuous)

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Homework Help Overview

The discussion revolves around the problem of finding the conditional expectation E[X|Y] where X is uniformly distributed over the interval [0,1] and Y is a discrete variable defined based on a threshold c in (0,1). Participants are exploring the implications of having a continuous random variable X and a discrete random variable Y.

Discussion Character

  • Exploratory, Conceptual clarification, Mathematical reasoning

Approaches and Questions Raised

  • Participants discuss the meaning of E[X|Y] and clarify that it should be interpreted as E[X|Y=1] and E[X|Y=0]. There are attempts to derive the expected values based on the distributions of X conditioned on Y. Some participants express confusion about how to compute the conditional expectation given the nature of X and Y.

Discussion Status

The discussion is active with participants sharing their interpretations and calculations related to the problem. Some have provided partial results and insights into the distributions of X given the values of Y, while others are seeking clarification on how to proceed with the variance of a derived variable Z.

Contextual Notes

Participants are navigating the complexities of conditional expectations involving a continuous random variable and a discrete one, with specific attention to the implications of the uniform distribution and the threshold c. There is mention of a chart summarizing the relationships between X, Y, and E[X|Y], indicating an attempt to organize their findings.

island-boy
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I need help in solving the following problem:

Let X be uniformly distributed over [0,1]. And for some c in (0,1), define Y = 1 if X>= c and Y = 0 if X < c. Find E[X|Y].

My main problem is that I am having difficulty solving for f(X|Y) since X is continuous (uniform continuous over [0,1]) while Y is discrete (takes values of 0 or 1 only)
 
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Actually, "E[X|Y]" does not make sense to me. That is the expected value of X given that Y is what? E[X|Y= 1] can be done and E[X|Y= 0].

Of course, if Y= 1, then X>= c so that is just E[X] where X is now uniformly distributed over [c, 1]. If Y= 0, then X is uniformly distributed over [0, c).
 
The problem is asking for the best predictor of X based on Y which is essentially E(X|Y)...I believe I should have different answers for different values of Y.

I got what you are saying though HallsofIvy. I'll try to work out the problem again. Thanks!
 
Hi, an additional question regarding the problem...

Given the question above, here's what I was able to get (that's suppose to be a chart below):

X: ......[c,1].......[0,c)
Y:.......1.......0
E[X|Y]:......(1+c)/2 ......c/2
X-E[X|Y]:...[(c-1)/2, (1-c)/2]......[-c/2, c/2 )

Solving, I got Var(X) = (c^2)/12

letting Z = X-E[X|Y]

How do I solve for Var(Z)
 
Last edited:

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