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Unformatted text preview: always assume that all
of the indicated expected values exist.
In addition, as in ordinary integration one can take constants outside of the
Lemma 5.1. If X is a constant c on A, then E (XY |A) = cE (Y |A).
Proof. Since X = c on A, XY 1A = cY 1A . Taking expected values and pulling
the constant out front, E (XY 1A ) = E (cY 1A ) = cE (Y 1A ). Dividing by P (A)
now gives the result.
Being an expected value E (·|A) it has all of the usual properties, in particular:
Lemma 5.2. Jensen’s inequality. If
E ( (X )|A) is convex then
(E (X |A)) Our next two properties concern the behavior of E (Y ; A) and E (Y |A) as a
function of the set A.
Lemma 5.3. If B is the disjoint union of A1 , . . . , Ak , then
E (Y ; B ) = k
X E (Y ; Aj ) j =1 Pk
Proof. Our assumption implies Y 1B = j =1 Y 1Aj , so taking expected values,
Y 1A j A =
E (Y 1Aj ) =
E (Y ; Aj )
E (Y ; B ) = E (Y 1B ) = E @
j =1 j =1 j =1 Lemma 5.4. If B is the disjoint union of A1 , . . . , Ak , then
E (Y |B ) = k
j =1 E (Y |Aj ) · In...
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