conditional probability

**silk23** · Jun 20th 2010, 07:22 AM

construct three random variables X Y Z so that

E(X|Y=y) , E(X|Z=z) are both constant whilst E(X|Z=x,Y=y) isnt a constant??

not really sure where to go with this??

**SpringFan25** · Jun 20th 2010, 01:38 PM

construct three random variables X Y Z so that

E(X|Y=y) , E(X|Z=z) are both constant whilst E(X|Z=x,Y=y) isnt a constant

I assume you typoed and you meant to say
(X|Y=y) , E(X|Z=z) are both constant whilst E(X|Z=z,Y=y) isnt a constant

Let Y,Z be independant bernoulli variables. with p=0.5 for both.

Define:
$X=-1^{Y+Z}$

$E(X|y=0) = E(-1^Z) = 0.5*1 + 0.5*-1 = 0$
$E(X|y=1) = E(-1^{1+Z}) = 0.5*-1 + 0.5*1 = 0$
So $E(X|Y) = 0$

$E(X|z=0) = E(X|z=1) =0~~$ (by analogy)

But consider $E(X|Y,Z)$
$E(X|y=1,z=0) = -1$
$E(X|y=1,z=1) = 1$
...etc. Obviously not constant so i wont do the other two cases.

That establishes the required properties. Not bad for an economist, eh?

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