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MathGroup Archive 1998

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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




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