conditional expectation


conditional expectation

[kən′dish·ən·əl ‚ek‚spek′tā·shən] (mathematics) If X is a random variable on a probability space (Ω, F,P), the conditional expectation of X with respect to a given sub σ-field F′ of F is an F′-measurable random variable whose expected value over any set in F′ is equal to the expected value of X over this set. (statistics) The expected value of a conditional distribution.