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Math Help - conditional expectation of inedeoendant normals

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    conditional expectation of inedeoendant normals

    If X and Y are independant normals what is E[X/X+Y]?
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    Hello,

    If they have the same distribution, look here : http://www.mathhelpforum.com/math-he...-v-136142.html
    If not, consider that (X,X+Y) follows a multinormal distribution (thanks to the independence) and use the conditional distribution here : http://en.wikipedia.org/wiki/Multiva..._distributions
    Last edited by Moo; April 16th 2011 at 05:34 AM.
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