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Topic: A Discrete Conditional Expectations Puzzle
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Lones A Smith

Posts: 115
Registered: 12/8/04
A Discrete Conditional Expectations Puzzle
Posted: Jul 15, 1996 4:12 PM
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Let x be a discrete real random variable, and suppose that p and q are
possibly correlated discrete r.v.'s that may shed light on x.

Prove or (unlikely) disprove:
If E[x|p=p_0] >= E[x] then E[x|p=p_0] >= E[E[x|q]|p=p_0] >= E[x].

Note that this is not the law of iterated expectations, but close.

Thanks for any help,

Lones

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Lones Smith, Economics Department, M.I.T., E52-252C, Cambridge MA 02139
(617)-253-0914 (work) 253-6915 (fax)
lones@lones.mit.edu





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