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Tower property of conditional expectation
(
E
[
E
[
X
∣
G
]]
=
E
[
X
]
)
...
Mathematics
Area of mathematics
Analysis
Real analysis
Measure theory
Conditional expectation
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Words: 24
Taking expectation after conditioning recovers the original expectation. More generally, if
H
⊆
G
, then
E
[
E
[
X
∣
G
]
∣
H
]
=
E
[
X
∣
H
]
.
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Conditional expectation
Measure theory
Real analysis
Analysis
Area of mathematics
Mathematics
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Rao-Blackwell theorem