James Davidson

in Stochastic Limit Theory

Published in print October 1994 | ISBN: 9780198774037
Published online November 2003 | e-ISBN: 9780191596117 | DOI:

Series: Advanced Texts in Econometrics


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This chapter deals in depth with the concept of conditional expectation. This is defined first in the traditional “naïve” manner, and then using the measure theoretic approach. A comprehensive set of properties of the conditional expectation are proved, generalizing several results of Ch. 9, and then multiple sub‐σ‐fields and nesting are considered, and a brief treatment of conditional distributions and conditional independence.

Keywords: conditional distributions; conditional expectation; conditional independence; conditional inequalities; iterated expectations; nested sub‐σ‐fields; regular conditioning

Chapter.  9982 words. 

Subjects: Econometrics and Mathematical Economics

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