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conditional expectation |
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conditional expectation [kən′dish·ən·əl ‚ek‚spek′tā·shən]
(mathematics) IfXis a random variable on a probability space (Ω,F,P), the conditional expectation ofXwith respect to a given sub σ-fieldF′ofFis anF′-measurable random variable whose expected value over any set inF′is equal to the expected value ofXover this set. (statistics) The expected value of a conditional distribution. Want to thank TFD for its existence? Tell a friend about us, add a link to this page, add the site to iGoogle, or visit the webmaster's page for free fun content. |
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