Conditional Expectation Function

Law of Iterated Expectations

Theorem

EX[EY(Y∣X)]=E[Y]

Proof
离散型随机变量

EX[EY(Y∣X)]=∑xEY(Y∣X=x)P(X=x)=∑x∑yy⋅P(Y=y∣X=x)P(X=x)=∑x∑yy⋅P(X=x∣Y=y)P(Y=y)=∑xP(X=x∣Y=y)∑yy⋅P(Y=y)=∑yy⋅P(Y=y)=E[Y]

连续型随机变量

EX[EY(Y∣X)]=∫xEY(Y∣X)pX(x) dx=∫x∫yy⋅pY∣X(x,y)dy pX(x) dx=∫x∫yy⋅pX∣Y(x,y)pY(y) dy dx=∫xpX∣Y(x,y) dx∫yy⋅pY(y)dy=∫yy⋅pY(y)dy=E[Y]

Best Predictor

Theorem
Let g(X) be any function of X, then

E[Y|X]=arg⁡ming⁡E[(Y−g(X))2]

Proof

E[(Y−g(X))2]=E[(Y−E[Y|X]+E[Y|X]−g(X))2]=E[(Y−E[Y|X])2]+E[(E[Y|X]−g(X))2]++2E[(Y−E[Y|X])(E[Y|X]−g(X))]

the first term

E[(Y−E[Y|X])2]=E{(Y−E[Y|X])2|X}=E{Var[Y|X]}≥0

the last term

2E[(Y−E[Y|X])(E[Y|X]−g(X))]=2E[E{(Y−E[Y|X])(E[Y|X]−g(X))|X}]=2E[(E[Y|X]−g(X))E{Y−E[Y|X]|X}]=2E[(E[Y|X]−g(X)){E[Y|X]−E[Y|X]}]=0

therefore, take

g(X)=E[Y|X]