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CONDITIONAL EXPECTATIONS
fY ,Z (y , z)
fY |Z (y |z) =
fZ (z)
= k(z)fY ,Z (y , z), y ∈ Rp ,
where, for fixed z ∈ SZ (with fZ (z) > 0), k(z) = [fZ (z)]−1 is a
normalizing constant. Thus the conditional p.m.f./p.d.f. is
proportional to the joint p.d.f.
E (ψ(Y )|Z ) = ψ ∗ (Z ),
where
ψ ∗ (z) = E (ψ(Y )|Z = z).
(b) Var(ψ(Y )) = Var E (ψ(Y )|Z ) + E Var(ψ(Y )|Z ) .
where, for z ∈ SZ ,
Thus
() Module 25 CONDITIONAL EXPECTATIONS 5 / 23
E E (ψ(Y )|Z ) = E (ψ ∗ (Z ))
Z
= ψ ∗ (z)fZ (z)dz
Rp2
Z Z
= ψ(y )fY |Z (y |z)dy fZ (z)dz
Rp2 Rp1
Z
= ψ(y )fY |Z (y |z)fZ (z)dy dz
Rp
Z
= ψ(y )fY ,Z (y , z)dy
Rp
= E (ψ(Y )).
2
Var(ψ(Y )) = E ψ(Y ) − E (ψ(Y ))
2
= E E ψ(Y ) − E (ψ(Y )) |Z
= E (ψ1 (Z ), ) (1)
where
2
ψ1 (Z ) = E ψ(Y ) − E ψ(Y ) Z
= E ψ(Y ) − E ψ(Y )|Z
2
+ E ψ(Y )|Z − E (ψ(Y )) Z
and
Var(ψ(Y )|Z ) = Var(ψ(Y )).
(a)
Thus,
Z1 Zx1 Zx2
1 1
E (X1 ) = dx3 dx2 dx1 = ;
x2 2
0 0 0
Z1 Zx1 Zx2
x1 1
E (X12 ) = dx3 dx2 dx1 = ;
x2 3
0 0 0
Therefore
1 5 5 7 49 37
Cov(Y1 , Y2 ) = − + + − +
6 24 48 72 288 1728
31
= ;
576
Var(Y1 ) = 4Var(X1 ) + Var(X2 ) + 9Var(X3 ) − 4Cov(X1 , X2 )
+12Cov(X1 , X3 ) − 6Cov(X2 , X3 )
1 7 37 1 1 7
= + + − + −
3 144 192 6 4 48
295
= ;
576
Z∞
E (X1 |X2 = x2 ) = x1 fX1 |X2 (x1 |x2 )dx1
−∞
Z1
−1
= dx1
ln x2
x2
x2 − 1
= ;
ln x2
() Module 25 CONDITIONAL EXPECTATIONS 18 / 23
Z∞
E (X3 |X2 = x2 ) = x3 fX3 |X2 (x3 |x2 )dx3
−∞
Zx2
x3
= dx3
x2
0
x2
= ;
2
x22 (x2 − 1)
E (Y |X2 = x2 ) = ;
2 ln x2
We will introduce the joint m.g.f. of a random vector and study its
properties.