Conditional expectations formulas

*To*: mathgroup at smc.vnet.net*Subject*: [mg14031] Conditional expectations formulas*From*: "Wetenschappelijk Onderzoek en Econometrie" <dnb_woe at euronet.nl>*Date*: Wed, 16 Sep 1998 14:12:10 -0400*Organization*: DNB*Sender*: owner-wri-mathgroup at wolfram.com

Hi, Does anybody know about a Mathematica package which can implements conditional expectation, i.e. implementing rules as E[x[t]+y[t],t]=E[x[t],t] + E[y[t],t] E[E[x,t],t-1]= E[x,t-1] E[a[t-1] x[t],t]= a[t-1] E[x[t],t] and d E[x[y[t]]]/d y[t] = E[d x[y[t]]/dy[t]] and so on?? I would be grateful for any hint. Sincerely, Carsten Folkertsma