
Re: Conditional expectation notation and the expectation of an i.i.d process
Posted:
Feb 26, 2016 10:01 AM


On 20160226 14:13:51 +0000, Tiger said:
> This is probably a simple question but I am somewhat confused. > > Let v_s (_s indicates time subscript) be i.i.d normal, where s = {t, > t+1, ?, T}. Consider the expectation of v_s condition al t i.e. > E_t(v_s). > > Question 1: > > How do I read E_t(v_s)? In particular I am a little confused about the > subscript "_t" of the expectation operator "E". Expected value of v_s > conditional on t. What does "conditional on t" really mean here? Does > it mean E(v_s  v_t)? So does it mean the expected value of v_s given > the information on v at t? > > Question 2: > > I suspect > > for s = t: E_t(v_t) = v_t > > and > > for s = t+1: E_t(v_t+1) = E(v_t+1) > > would hold if v_s is an i.i.d process. Am I right?
Where did you find this notation? There should be an explanation of its usage there.
Notation means whatever its author claims it means, subject to its being well formed. Just because it can be written down does not mean it makes sense! Some notation is so common and so useful that it no longer is defined in its usage although careful text books may include explanations.

