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Variance equation

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  • Variance equation

    I ran across the following equation in the solution for a practice problem:

    Var(X) = E[Var(X|Y)] + Var[E(X|Y)]

    Y U Y' = S(the total space)

    There are no other assumptions stated in the problem concerning X,Y. I haven't seen this equation in my text. Has anyone else seen this?

  • #2
    yeah ive seen it, but i dont ever think ive used it, or if i have, ive done it in steps (so i didnt know thats what i was doing). I wouldnt worry about it at all.

    Chris

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    • #3
      If X and Y are jointly distributed, then...

      Var[X] = E[Var(X|Y)] + Var[E(X|Y)]

      Hope this helps.

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      • #4
        My probability course in college had a couple questions with it, and I've seen a practice exam question with it. It's rather easy, however.

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