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Double expectation


Jun 2, 2013
For two random variables X and Y , we can define E(X|Y) to be the function of Y that satisfi es
E(Xg(Y)) = E(E(X|Y)g(Y))
for any function g. Using this de finition show that E(aX|Y ) = aE(X|Y ).

so according to the definition do i start with this?:

E(aX|Y) = E(aE(X|Y)|Y)
if so how do i continue from there?