期望(Expectation)
E ( E ( Y ∣ X ) ) = E Y E(E(Y|X))=EY E(E(Y∣X))=EY
E ( g ( X ) Y ∣ X ) = g ( X ) E ( Y ∣ X ) E(g(X)Y|X)=g(X)E(Y|X) E(g(X)Y∣X)=g(X)E(Y∣X)
参考资源
[1] 条件数学期望(北大)
E ( E ( Y ∣ X ) ) = E Y E(E(Y|X))=EY E(E(Y∣X))=EY
E ( g ( X ) Y ∣ X ) = g ( X ) E ( Y ∣ X ) E(g(X)Y|X)=g(X)E(Y|X) E(g(X)Y∣X)=g(X)E(Y∣X)
[1] 条件数学期望(北大)