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Published in:
2018 | OriginalPaper | Chapter
2. Conditioning and Martingales
Authors : Valérie Girardin, Nikolaos Limnios
Published in: Applied Probability
Publisher: Springer International Publishing
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Abstract
In this chapter, conditional distributions and expectations are presented, following steps of increasing difficulty. Conditional distributions are first supposed to exist, which is true for all random variables taking values in \(\mathbb {R}^d\). Still, conditional expectation is defined in the most general case. A section is dedicated to determining practically conditional distributions and expectations, and another to the linear model in which a random phenomenon is assumed to be linearly related to other simultaneously observed phenomena.