Results 1 to 2 of 2

Thread: Conditional Expectation

  1. February 24th 2010, 11:07 AM #1
    mpetnuch
    mpetnuch is offline
    Junior Member
    Joined
    May 2007
    Posts
    33

    Conditional Expectation

    I am trying to figure out the following problem but I don't understand exactly how to deal with the conditional expectation. If X is a random variable with CDF F(x) then what is E[ X | X > w]?
    Follow Math Help Forum on Facebook and Google+
  2. February 24th 2010, 09:59 PM #2
    matheagle
    matheagle is offline
    MHF Contributor matheagle's Avatar
    Joined
    Feb 2009
    Posts
    2,762
    Thanks
    2
    I believe it's just

    {E(XI(X>w))\over P(X>w)}= {\int_w^{\infty}xf(x)dx\over 1-F(w)}

    where the I is an indicator function, which is one when X exceeds w.
    So you're just integrating X over the region w to infinity.
    Follow Math Help Forum on Facebook and Google+
« Not the Uniform Distribution | Interesting Gambling Game »

Similar Math Help Forum Discussions

  1. Conditional Probability and Conditional Expectation Question
    Posted in the Statistics Forum
    Replies: 0
    Last Post: July 22nd 2011, 01:39 AM
  2. Conditional Expectation
    Posted in the Advanced Statistics Forum
    Replies: 0
    Last Post: March 29th 2011, 05:01 PM
  3. Conditional Expectation
    Posted in the Advanced Statistics Forum
    Replies: 0
    Last Post: January 29th 2010, 08:34 PM
  4. Expectation & Conditional Expectation
    Posted in the Advanced Statistics Forum
    Replies: 5
    Last Post: February 1st 2009, 10:42 AM
  5. Conditional Expectation
    Posted in the Advanced Statistics Forum
    Replies: 3
    Last Post: December 9th 2007, 08:22 PM

Search Tags


/mathhelpforum @mathhelpforum