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STOCH3 · 1

Conditional expectation

9 concepts · 17 questions

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STOCH3Step●○○○○new1 Conditional expectation
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The problem

Roll two fair dice X1,X2X_1, X_2 and let M=max⁡(X1,X2)M = \max(X_1, X_2). (a) Find the distribution of MM. (b) Compute E[X1∣M]\mathbb E[X_1\mid M]. (c) Check E[E[X1∣M]]=72\mathbb E[\mathbb E[X_1\mid M]] = \frac72.

P(M=m)\mathbb P(M = m).