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Conditional expectation of a product of two independent random variables

  1. Oct 31, 2012 #1
    Suppose that α and β are independently distributed random variables, with means; μ_α, μ_b
    and variances; δ_α^2, δ_β^2, respectively.
    Further, let c=αβ+e, where e is independently distributed from α and β
    with mean 0 and variance δ_e^2.



    Does it hold that

    E(αβ | c) = E(α|c) E(β|c)

    If not; does it hold when we assume that α, β and e are Gaussian?

    If not; does it hold when μ_β = 0?


    More general, does it still hold when c = f(α,β) + e, with $f(,)$ some arbitrary function.

    Thanks in Advance;

    Geert
     
    Last edited: Oct 31, 2012
  2. jcsd
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