@ Moo - Thanks for your response.
I do understand your solution.
But I am not confortable with all the theorms/or rather properties of Expectation (in case of joint distributions). I basically get confused and at times rely on intuition.
Will it be possible for you to reccomend me
1. A source/book I can read to understand this better
2. For e.g. Why is
E(Y) = E(E(Y|X))
And then how you got
E[E[UX|X]]=E[XE[U|X]] - I understand it intuitively but not rigorously.
But where I'm weak is a better understanding of Joint Distributions. I tried referring some online resources but couldn't get a very clear idea. And, I'm not attending any university so little hard for me to find out where can you read up on it. Thanks
I have a very formal proof of the fact that but it's kind of long, and very theoretical. You also need measure theory knowledge. Well I don't think it's a relevant one...
The general idea is to say that in a probability space and given a sigma-algebra , and X a random variable , then there exists a unique random variable such that for any .
In particular, for , we get the desired equality.
Note that when we write , it's in fact , where is the sigma-algebra generated by . So it's in place of in the above paragraph.
Also note that with the Aussie singer's method, matheagle, we have to assume that these random variables have a pdf.
For the second point, the proof doesn't look that difficult, it's just long and painful... I don't know how to explain it with words...
Thanks. I did read up about this proof in particular.
If there is a good book at an intermediate level to read up on probabolity thoery and expectations, distribution (joint) etc please do refer that to me. I like books which start with clear definitions of concepts / axioms and then proceed to prove such theorms for there. You can consider me a novice at measure theory.
I know three books in English that look good. But I don't know if they're the best. My library isn't specialized in English books
Amazon.com: Probability with Martingales (Cambridge Mathematical Textbooks) (9780521406055): David Williams: Books
Amazon.com: Probability and Measure, 3rd Edition (9780471007104): Patrick Billingsley: Books
Measure, Integral and Probability: Amazon.fr: Marek Capinski, Peter E. Kopp, Ekkehard Kopp: Livres en anglais
well they're expensive, but I hope the library in your university has some of them !