What is a valid condition for which iid random variables $X,X'$ on $(\Omega,\mathcal{F},\mathbb{P})$ have the same conditional expectation (w.r.t., say, to some non-trivial sub-$\sigma$-algebra $\mathcal{G}$ of $\mathcal{F}$)? Clearly if both are independent of $\mathcal{G}$ this is true. I think this is the most general condition, because if one of them (X) is not independent of $\mathcal{G}$, and, say, the other one (X') is, we can come up with examples where for some $\omega$, $\mathbb{E}_{\mathcal{G}}X(\omega)\neq \mathbb{E}X\equiv\mathbb{E}_{\mathcal{G}}X'(\omega)$, as long as we can construct iid random variables such that one is independent of $\mathcal{G}$ and the other one is not. I think this can be done as follows: consider a random variable $Y$ representing a coin-toss ($1$ is head $0$ tail) of a green coin. Then take a red and a blue coin. Glue the red coin to the green (assume the gluing to have no mechanical effect on the toss outcome, i.e. introducing no bias). Then the blue and the red coin are iid, but while the blue coin toss (X') is independent of the green one (Y), the red coin toss (X) is not (it is in fact fixed by the outcomes of $Y$). So $\mathbb{E}(X|Y)(\omega)\neq \mathbb{E}(X'|Y)=1/2$ since, for example, if $\omega\in\{Y=1\}$, $\mathbb{E}(X|Y)(\omega)= \mathbb{E}(X|Y=1)=1\mathbb{P}(X=1,Y=1)/\mathbb{P}(Y=1)+0=1$ because $\mathbb{P}(X=1,Y=1)=\mathbb{P}(Y=1)=1/2$. Is this example correct?
2026-05-15 03:48:05.1778816885
IID does not imply same conditional expectation in general
103 Views Asked by Bumbble Comm https://math.techqa.club/user/bumbble-comm/detail AtRelated Questions in PROBABILITY
- How to prove $\lim_{n \rightarrow\infty} e^{-n}\sum_{k=0}^{n}\frac{n^k}{k!} = \frac{1}{2}$?
- Is this a commonly known paradox?
- What's $P(A_1\cap A_2\cap A_3\cap A_4) $?
- Prove or disprove the following inequality
- Another application of the Central Limit Theorem
- Given is $2$ dimensional random variable $(X,Y)$ with table. Determine the correlation between $X$ and $Y$
- A random point $(a,b)$ is uniformly distributed in a unit square $K=[(u,v):0<u<1,0<v<1]$
- proving Kochen-Stone lemma...
- Solution Check. (Probability)
- Interpreting stationary distribution $P_{\infty}(X,V)$ of a random process
Related Questions in PROBABILITY-DISTRIBUTIONS
- Given is $2$ dimensional random variable $(X,Y)$ with table. Determine the correlation between $X$ and $Y$
- Statistics based on empirical distribution
- Given $U,V \sim R(0,1)$. Determine covariance between $X = UV$ and $V$
- Comparing Exponentials of different rates
- Linear transform of jointly distributed exponential random variables, how to identify domain?
- Closed form of integration
- Given $X$ Poisson, and $f_{Y}(y\mid X = x)$, find $\mathbb{E}[X\mid Y]$
- weak limit similiar to central limit theorem
- Probability question: two doors, select the correct door to win money, find expected earning
- Calculating $\text{Pr}(X_1<X_2)$
Related Questions in CONDITIONAL-PROBABILITY
- Given $X$ Poisson, and $f_{Y}(y\mid X = x)$, find $\mathbb{E}[X\mid Y]$
- Finding the conditional probability given the joint probability density function
- Easy conditional probability problem
- Conditional probability where the conditioning variable is continuous
- probability that the machine has its 3rd malfunction on the 5th day, given that the machine has not had three malfunctions in the first three days.
- Sum of conditional probabilities equals 1?
- Prove or disprove: If $X | U$ is independent of $Y | V$, then $E[XY|U,V] = E[X|U] \cdot E[Y|V]$.
- Conditional probability and binomial distribution
- Intuition behind conditional probabilty: $P(A|B)=P(B\cap A)/P(B)$
- Transition Probabilities in Discrete Time Markov Chain
Related Questions in CONDITIONAL-EXPECTATION
- Expectation involving bivariate standard normal distribution
- Show that $\mathbb{E}[Xg(Y)|Y] = g(Y) \mathbb{E}[X|Y]$
- How to prove that $E_P(\frac{dQ}{dP}|\mathcal{G})$ is not equal to $0$
- Inconsistent calculation for conditional expectation
- Obtaining expression for a conditional expectation
- $E\left(\xi\text{|}\xi\eta\right)$ with $\xi$ and $\eta$ iid random variables on $\left(\Omega, \mathscr{F}, P\right)$
- Martingale conditional expectation
- What is $\mathbb{E}[X\wedge Y|X]$, where $X,Y$ are independent and $\mathrm{Exp}(\lambda)$- distributed?
- $E[X|X>c]$ = $\frac{\phi(c)}{1-\Phi(c)}$ , given X is $N(0,1)$ , how to derive this?
- Simple example dependent variables but under some conditions independent
Related Questions in INDEPENDENCE
- How to prove mutually independence?
- Simple example dependent variables but under some conditions independent
- Perturbing equivalent measures
- How to prove conditional independence properties
- How do I prove A and B are independent given C?
- Independence of stochastic processes
- joint probability density function for $ X = \sqrt(V) \cdot cos(\Phi) $ and $ Y = \sqrt(V) \cdot sin(\Phi) $
- How predictable is $Y$, given values of $X_i$s?
- Each vertex of the square has a value which is randomly chosen from a set.
- Consider a sequence of n independent multinomial trials
Trending Questions
- Induction on the number of equations
- How to convince a math teacher of this simple and obvious fact?
- Find $E[XY|Y+Z=1 ]$
- Refuting the Anti-Cantor Cranks
- What are imaginary numbers?
- Determine the adjoint of $\tilde Q(x)$ for $\tilde Q(x)u:=(Qu)(x)$ where $Q:U→L^2(Ω,ℝ^d$ is a Hilbert-Schmidt operator and $U$ is a Hilbert space
- Why does this innovative method of subtraction from a third grader always work?
- How do we know that the number $1$ is not equal to the number $-1$?
- What are the Implications of having VΩ as a model for a theory?
- Defining a Galois Field based on primitive element versus polynomial?
- Can't find the relationship between two columns of numbers. Please Help
- Is computer science a branch of mathematics?
- Is there a bijection of $\mathbb{R}^n$ with itself such that the forward map is connected but the inverse is not?
- Identification of a quadrilateral as a trapezoid, rectangle, or square
- Generator of inertia group in function field extension
Popular # Hahtags
geometry
circles
algebraic-number-theory
functions
real-analysis
elementary-set-theory
proof-verification
proof-writing
number-theory
elementary-number-theory
puzzle
game-theory
calculus
multivariable-calculus
partial-derivative
complex-analysis
logic
set-theory
second-order-logic
homotopy-theory
winding-number
ordinary-differential-equations
numerical-methods
derivatives
integration
definite-integrals
probability
limits
sequences-and-series
algebra-precalculus
Popular Questions
- What is the integral of 1/x?
- How many squares actually ARE in this picture? Is this a trick question with no right answer?
- Is a matrix multiplied with its transpose something special?
- What is the difference between independent and mutually exclusive events?
- Visually stunning math concepts which are easy to explain
- taylor series of $\ln(1+x)$?
- How to tell if a set of vectors spans a space?
- Calculus question taking derivative to find horizontal tangent line
- How to determine if a function is one-to-one?
- Determine if vectors are linearly independent
- What does it mean to have a determinant equal to zero?
- Is this Batman equation for real?
- How to find perpendicular vector to another vector?
- How to find mean and median from histogram
- How many sides does a circle have?