- #1
EconMax
- 2
- 0
In a paper, I have found this relationship:
E(X|Y<y)=Cov(X,Y)*E(Y|Y<y)/Var(Y)
It seems to me that the previous equation holds if, for instance, X=aY+Z with Z and Y independent and a non zero.
It also holds if (X,Y) is a bivariate normal (with non zero correlation).
But does it hold in general?
I think the answer is no. Because, trivially, if X and Y are independent, the equation is wrong.
Am I correct?
E(X|Y<y)=Cov(X,Y)*E(Y|Y<y)/Var(Y)
It seems to me that the previous equation holds if, for instance, X=aY+Z with Z and Y independent and a non zero.
It also holds if (X,Y) is a bivariate normal (with non zero correlation).
But does it hold in general?
I think the answer is no. Because, trivially, if X and Y are independent, the equation is wrong.
Am I correct?