Lecture

Conditional Expectation

In course

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Description

This lecture covers the properties and definition of conditional expectation, emphasizing the existence of suitable sigma-algebras. It explores the concept of conditional expectation as a family of almost everywhere equal random variables. The demonstration involves proving the equality of two sides and the measurability of linear combinations. The lecture extends the definition of conditional expectation to non-negative functions using the monotone convergence theorem.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_krbnxcea

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Ontological neighbourhood

Statistics

Statistical inference: Mathematical statistics

Mathematics

Algebra: Linear algebra

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