This is an interview question I found online.
Let $X$ and $Y$ be independent standard Gaussians. What is $E[X|XY]$?
I don't know how the expectation function distributes over conditionals. Any tips?
This is an interview question I found online.
Let $X$ and $Y$ be independent standard Gaussians. What is $E[X|XY]$?
I don't know how the expectation function distributes over conditionals. Any tips?
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Here is a hint: Note that $X$ and $Y$ are symmetric distributions. Suppose you are told that the product of $X$ and $Y$ is, say, $1$. Does that give you preferential information about the sign of $X$; that is to say, is the value of $XY$ informative about whether $X$ is positive or negative?
Do you have reason to believe the conditional distribution of $X \mid XY$ would be asymmetric?