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In stick example:
E[X] = E[E[X | Y ]] = E[Y /2] = !/4
Proof:
E[X | Y = 1] = 90, E[X | Y = 2] = 60
1 2
(d) var(E[X | Y ]) = E[ (E[X | Y ])2 ](E[X])2 var(E[X | Y ]) = (90 70)2 + (60 70)2
3 3
600
Sum of right-hand sides of (c), (d): = = 200
3
E[X 2] (E[X ])2 = var(X)
1
Section means and variances (ctd.) Example
10 30
1 ! 1 ! var(X) = E[var(X | Y )] + var(E[X | Y ])
(xi90)2 = 10 (xi60)2 = 20
10 i=1 20 i=11
f X(x)
2/3
var(X | Y = 1) = 10 var(X | Y = 2) = 20
1/3
1 2
Y=1 Y=2 x
10, w.p. 1/3
var(X | Y ) =
20, w.p. 2/3
E[X | Y = 1] = E[X | Y = 2] =
E[var(X | Y )] = 1 10 + 2 20 = 50
3 3 3
var(X | Y = 1) = var(X | Y = 2) =
E[Y | N = n] = E[X1 + X2 + + Xn | N = n]
= E[X1 + X2 + + Xn]
= E[X1] + E[X2] + + E[Xn] var(Y ) = E[var(Y | N )] + var(E[Y | N ])
= n E[X] = E[N ] var(X ) + (E[X])2 var(N )
E[Y | N ] = N E[X]
E[Y ] = E[E[Y | N ]]
= E[N E[X]]
= E[N ] E[X]
2
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