- #1
Barioth
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Hi, I'm trying to show that
Givien a probability triplet \(\displaystyle (\theta,F,P)\)
with \(\displaystyle G\in F\) a sub sigma algebra
\(\displaystyle E(E(X|G))=E(X)\)
Now I want to use \(\displaystyle E(I_hE(X|G))=E(I_hX)\)
for every \(\displaystyle h\in G \)
since that's pretty much all I've for the definition of conditional expected value.
I know this property should use the definition of expected value, but I can't get it to work.
Thanks
Givien a probability triplet \(\displaystyle (\theta,F,P)\)
with \(\displaystyle G\in F\) a sub sigma algebra
\(\displaystyle E(E(X|G))=E(X)\)
Now I want to use \(\displaystyle E(I_hE(X|G))=E(I_hX)\)
for every \(\displaystyle h\in G \)
since that's pretty much all I've for the definition of conditional expected value.
I know this property should use the definition of expected value, but I can't get it to work.
Thanks