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Lecture
Conditional Expectation: Properties & Jensen's Inequality
Description
This lecture covers the properties of conditional expectation, including the tower property and linearity. It also introduces Jensen's inequality and its application in probability theory. The geometric interpretation of conditional expectation in a Hilbert space is discussed, along with the unique properties of conditional expectation. The lecture concludes with a proof of the properties of conditional expectation and their implications.
Official source
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