I want to check my understanding of conditional expectation.
Could someone confirm if this is true? Y(t) is normally distributed.
E[Y(2)|Y(1),Y(3)] = E[Y(2)|Y(1)] + E[Y(2)|Y(3)]
If this is not true, how would I go about expanding this out. For one condition, I have used the theorem of normal correlation to expand out and solve, however I'm unsure how to solve for two conditions.