Fundamental question about conditional Expectation

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SUMMARY

The discussion centers on the interpretation of conditional expectations, specifically the expressions \(\mathbb{E}[Y|X=x]\) and \(\mathbb{E}[Y|X]\). The user seeks clarity on how these two forms relate to each other and whether they convey different meanings. The consensus is that while \(\mathbb{E}[Y|X=x]\) represents the expected value of Y given a specific value of X, \(\mathbb{E}[Y|X]\) is a more general expression that requires additional context to be meaningful, often used in conjunction with further operations like \(\mathbb{E}[\mathbb{E}[Y|X]]\).

PREREQUISITES
  • Understanding of random variables and their properties
  • Familiarity with the concept of conditional expectation in probability theory
  • Basic knowledge of mathematical notation used in statistics
  • Experience with operations involving expectations, such as iterated expectations
NEXT STEPS
  • Study the properties of conditional expectations in probability theory
  • Learn about the law of total expectation and its applications
  • Explore the differences between conditional expectations and conditional distributions
  • Investigate the implications of conditioning on random variables in statistical modeling
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Students of probability theory, statisticians, and data scientists looking to deepen their understanding of conditional expectations and their applications in statistical analysis.

omaradib
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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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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]
 

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