Conditional expectation of X given (X, Y, Z)

Marilyn Cameron

Marilyn Cameron

Answered question

2022-10-27

Conditional expectation of X given (X, Y, Z)
Suppose there are three random variables X, Y, Z (may be dependent on each other).
Then, E [ X | X , Y , Z ] = X, regardless of their inter-relationship?

Answer & Explanation

hanfydded1c

hanfydded1c

Beginner2022-10-28Added 17 answers

Step 1
If σ ( X ) is the σ-algebra generated by the random variable X, then
E [ X | X , Y , Z ] = E [ X | σ ( X , Y , Z ) ]
Now, X is σ ( X ) measurable, and σ ( X ) σ ( X , Y , Z ), so in fact X is σ ( X , Y , Z ) measurable. Moreover, X trivially satisfies the equality
A E [ X | X , Y , Z ] = A X
for all A σ ( X , Y , Z ). We conclude that in fact E [ X | X , Y , Z ] = X.
Step 2
Intuitively this results makes sense, since of course conditioning X on the information contained in X should not make a difference, and also (Y,Z) cannot contribute any information about X which the r.v. itself does not contain.

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