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Why does conditional probability used in mean square error equal zero?

  1. Mar 27, 2014 #1
    Hi guys,

    I am having trouble showing that [itex]\mathbb{E}\left[(Y-\mathbb{E}[Y|X])^{2}\right]=0[/itex].

    I understand the proof of why E[Y|X] minimizes the mean square error, but I cannot understand why it is then equal to zero.

    I tried multiplying out the square to get [itex]\mathbb{E}\left[Y^{2}\right]-2\mathbb{E}\left[Y\mathbb{E}[Y|X]\right]+\mathbb{E}\left[\mathbb{E}[Y|X]\mathbb{E}[Y|X]\right][/itex]
    but have not been able to justify [itex]\mathbb{E}\left[Y\mathbb{E}[Y|X]\right]=\mathbb{E}\left[Y^{2}\right]
    [/itex] or [itex]\mathbb{E}\left[\mathbb{E}[Y|X]\mathbb{E}[Y|X]\right]=\mathbb{E}\left[Y^{2}\right][/itex].

    Thanks in advance.
     
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  3. Mar 27, 2014 #2

    micromass

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    Can you tell us your definition of the conditional expectation and what properties you are allowed to use?
     
  4. Mar 27, 2014 #3

    Stephen Tashi

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    It would also be helpful to improve the notation. If [itex] X [/itex] and [itex] Y [/itex] are random variables and [itex] f(X,Y) [/itex] is a function of them then the notation [itex] E f(X,y) [/itex] is ambiguous. It is not clear whether the expectation is being computed with respect to the distribution of [itex] X [/itex] or the distribution of [itex] Y [/itex] - or perhaps with respect to the joint distribution for [itex] (X,Y) [/itex].

    You can use a subscript to denote which distribution is used to compute the expectation. For example, if [itex] Y [/itex] is not a function of [itex] X [/itex] then [itex] E_X ( E_Y ( 3Y + 1) ) [/itex] is the expectation of with respect to the distribution of [itex] X [/itex] of the constant value [itex] E_Y(3Y + 1) [/itex] Hence [itex] E_X (E_Y (3Y+1)) = E_Y (3Y+ 1) [/itex].
     
  5. Mar 28, 2014 #4

    FactChecker

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    It's hard to prove because it is not true unless (Y-E(Y|X))==0. Are you sure that (Y-E(Y|X)) is supposed to be squared?
     
  6. Mar 28, 2014 #5

    Stephen Tashi

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    And before (Y - E(Y|X)) is equal or not equal to zero, it would have to mean something. How do we interpret Y - E(Y|X) ? Is it a random variable? To realize it , do we realize a value Y = y0 from the distribution of Y and then take the expected value of the constant y0 with respect to the distribution of X ?
     
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