STAT 410

2.3

Fall 2016

Conditional Distributions and Expectations.

(continued)

Var ( X | Y ) = E [ ( X E ( X | Y ) ) 2 | Y ] = E ( X 2 | Y ) [ E ( X | Y ) ] 2

Def

Theorem

E( E( X | Y ) ) = E( X )
Var ( E ( X | Y ) ) Var ( X )
Var ( X ) = Var ( E ( X | Y ) ) + E [ Var ( X | Y ) ]

Furthermore,

Var ( X )

Var ( E ( X | Y ) )

Portion of the
distribution of X
that is related to Y

E [ Var ( X | Y ) ]
Portion of the
distribution of X
that is independent
of Y

If X is a function of Y, then
E( X | Y ) = X
Var ( X | Y ) = 0

Var ( E ( X | Y ) ) = Var ( X ),

and
and

E [ Var ( X | Y ) ] = 0.

If X and Y are independent, then

E( X | Y ) = E( X )
Var ( X | Y ) = Var ( X )

Var ( E ( X | Y ) ) = 0 since E ( X ) is a constant,

and
and

E [ Var ( X | Y ) ] = Var ( X ).

2.

Let the joint probability density function for ( X , Y ) be

2

f (x, y ) = 60 x y 0 x 1, 0 y 1, x + y 1

Recall:

otherwise

f X ( x ) = 30 x 2 ( 1 - x ) 2 ,
E( X ) =

1
,
2

9
,
252

Var ( X ) =

f Y ( y ) = 20 y ( 1 - y ) 3 ,
E( Y ) =

0 < x < 1,

1
,
3

E(X2) =

2
72
= ;
252 7

E(Y2) =

1
36
= ;
252 7

0 < y < 1,

8
,
252

Var ( Y ) =

f Y|X ( y | x ) =

2y
f (x,y )
=
,
f X (x )
(1 - x )2

0 < y < 1 x,

0 < x < 1.

f X|Y ( x | y ) =

f (x,y )
3x2
=
,
3
f Y ( y)
(1 - y )

0 < x < 1 y,

0 < y < 1.

E( Y | X = x ) =

1- x

(1- x )

dy =
2

2
(1 - x ),
3

2
( 1 - X ).
3

E( Y | X ) =

E[ ( E( Y | X ) )2 ] =

Var ( E ( Y | X ) ) =

2y

E( E( Y | X ) ) =

( )) =

4
1 - 2 E( X ) + E X 2
9

8 1
-
63 3

0 < x < 1.

1
= E ( Y ).
3

4
1 2
8
.
1- 2 + =
9
2 7
63

1
.
63
OR

4
4 9
4
1
2

Var ( E ( Y | X ) ) = Var ( 1 - X ) =
=
=
.
Var ( X ) =
9
9 252
252
63
3

Var ( E ( Y | X ) ) =

E( Y | X = x ) =

1
4
8
=
<
= Var ( Y ).
63
252
252

1- x

2
y

2y

(1 - x )

dy =

1
(1 - x )2 ,
2

0 < x < 1.

Var ( Y | X = x ) = E ( Y 2 | X = x ) [ E ( Y | X = x ) ] 2
=
Var ( Y | X ) =

1
(1 - x )2 4 (1 - x )2 = 1 (1 - x )2 ,
2
9
18

0 < x < 1.

1
(1 - X )2 .
18

E [ Var ( Y | X ) ] =

( )) =

1
1 - 2 E( X ) + E X 2
18

Var ( E ( Y | X ) ) + E [ Var ( Y | X ) ] =

1
1 2
1
.
1- 2 + =
18
2 7
63

1
1
8
=
= Var ( Y ).
+
63 63
252

1- y

E( X | Y = y ) =

E( X | Y ) =

3x2

(1 - y )

dx =
3

3
( 1 - y ),
4

0 < y < 1.

3
( 1 - Y ).
4

E( E( X | Y ) ) =

3
( 1 - E ( Y ) ) = 3 1 - 1 = 1 = E ( X ).
2
4
3
4

9
9 8
1
3

Var ( E ( X | Y ) ) = Var ( 1 - Y ) =
=
.
Var ( Y ) =

16
16 252
56
4

Var ( E ( X | Y ) ) =

1
4.5
9
=
<
= Var ( X ).
56
252
252

1- y

E( X | Y = y ) =

x2

3x2

(1- y )

dx =

3
(1 - y )2 ,
5

0 < y < 1.

Var ( X | Y = y ) = E ( X 2 | Y = y ) [ E ( X | Y = y ) ] 2
=
Var ( X | Y ) =

3
(1 - y )2 9 (1 - y )2 = 3 (1 - y )2 ,
5
16
80

0 < y < 1.

3
(1 - Y )2 .
80

E [ Var ( X | Y ) ] =

( )) =

3
1 - 2 E( Y ) + E Y 2
80

Var ( E ( X | Y ) ) + E [ Var ( X | Y ) ] =

3
1 1
1
.
1- 2 + =
80
3 7
56

1
1
9
=
= Var ( X ).
+
56 56
252

1.

Consider the following joint probability distribution p ( x, y ) of two random

variables X and Y:

x
1
2

pX( x )

0.15

0.10

0.25

0.25

0.30

0.20

0.75

pY( y )

0.40

0.40

0.20

p X|Y ( x | 0 )

/0.40 = 0.375
0.25
/0.40 = 0.625

0.15

p X|Y ( x | 1 )

/0.40 = 0.25
0.30
/0.40 = 0.75

0.10

p X|Y ( x | 2 )

/0.20 = 0.00
0.20
/0.20 = 1.00
0.00

E ( X | Y = 0 ) = 1.625

E ( X | Y = 1 ) = 1.75

E( X | Y = 2 ) = 2

Var ( X | Y = 0 ) = 0.234375

Var ( X | Y = 1 ) = 0.1875

Var ( X | Y = 2 ) = 0

Def

Var ( X | Y ) ) = E [ ( X E ( X | Y ) ) 2 | Y ] = E ( X 2 | Y ) [ E ( X | Y ) ] 2

E( X | Y = y )

pY( y )

Var ( X | Y = y )

pY( y )

1.625

0.40

0.234375

0.40

1.75

0.40

0.1875

0.40

0.20

0.20

E ( E ( X | Y ) ) = 1.75 = E ( X )
Var ( E ( X | Y ) ) = 0.01875

<

E ( Var ( X | Y ) ) = 0.16875
0.1875 = Var ( X ).

Var ( E ( X | Y ) ) + E ( Var ( X | Y ) ) = 0.01875 + 0.16875 = 0.1875 = Var ( X ).

p Y|X ( y | 1 )

0.15

/0.25 = 0.60

0.25

0.10

/0.25 = 0.40
0.00
/0.25 = 0.00

0.30

/0.75 = 5/15

/0.75 = 6/15
0.20
/0.75 = 4/15

E ( Y | X = 1 ) = 0.4 = 6 15

E ( Y | X = 2 ) = 14 15

Var ( Y | X = 1 ) = 0.24 = 54 225

p Y|X ( y | 2 )

Var ( Y | X = 2 ) = 134 225

E( Y | X = x )

pX( x )

Var ( Y | X = x )

pX( x )

/15

0.25

0.25

/15

0.75

/225
134
/225

14

54

E ( E ( Y | X ) ) = 12 15 = 0.80 = E ( Y )

Var ( E ( Y | X ) ) = 4 75 0.053333

<

0.75

E ( Var ( Y | X ) ) = 38 75

0.56 = Var ( Y )

Var ( Y ) = 0.56 = 4 75 + 38 75 = Var ( E ( Y | X ) ) + E ( Var ( Y | X ) )