Fundamental question about conditional Expectation

In summary, the conversation is about conditional expectation expressions \mathbb{E}[Y|X=x] and \mathbb{E}[Y|X] and their relationship. The speaker wonders how \mathbb{E}[Y|X] can be interpreted and suggests that it may not be meaningful when standing alone, but rather needs to be accompanied by other operations such as \mathbb{E}[\mathbb{E}[Y|X]].
  • #1
omaradib
7
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Homework Statement



I am familiar with the following kind of conditional expectation expression:

[tex]\mathbb{E}[Y|X=x][/tex],

where X and Y are random variables.

I am wondering what the following conditional expectation stands for:
[tex]\mathbb{E}[Y|X][/tex]

How these two are related? How the second one can be interpreted?

Homework Equations





The Attempt at a Solution



Looked at wikipedia. Don't see any definitive answer to this. However, the I am reading now, these two different forms appear.

My guess they cannot be meaningfully different. They are the same. It is the way people use notations make both of them appear at different places.
 
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  • #2
My further guess is
[tex]
\mathbb{E}[Y|X]
[/tex]

cannot be meaningful when standing alone.

It is accompanied by other operations such as:

[tex]
\mathbb{E}[\mathbb{E}[Y|X]]
[/tex]
 

FAQ: Fundamental question about conditional Expectation

1. What is conditional expectation?

Conditional expectation is a statistical concept that measures the expected value of a random variable, given the knowledge of another random variable.

2. Why is conditional expectation important?

Conditional expectation is important because it allows us to make predictions and decisions based on available information. It also helps us understand the relationship between two random variables.

3. How is conditional expectation calculated?

Conditional expectation is calculated by taking the expected value of one random variable, while considering the value of another random variable as a fixed parameter.

4. What is the difference between conditional expectation and unconditional expectation?

Conditional expectation takes into account the knowledge of another random variable, while unconditional expectation does not. In other words, conditional expectation considers a specific condition, whereas unconditional expectation considers all possible outcomes.

5. Can conditional expectation be negative?

Yes, conditional expectation can be negative. It is possible for the expected value of a random variable to be negative, even when considering the value of another random variable as a fixed parameter.

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