Questions tagged [conditioning]

Conditioning is a probabilistic operation that consists in examining the probabilistic properties of a random variable (or of an event) given the realised value of another random variable (or of an event)

Conditioning the random variable $X$ on the random variable $Y$ means deriving the conditional probability distribution of $X$ given $Y=y$, which is formally provided by the equation $$\mathbb{P}^X(X\in A)=\int \mathbb{P}(X\in A|Y=y)\text{d}\mathbb{P}^Y(y)$$ This covers as a special case the settings where $X$ or $Y$ (or both) are events indicators, e.g., $$ X=\mathbb{I}_A(Z)\quad\text{or}\quad Y=\mathbb{I}_B(W)\,. $$

When the pair $(X,Y)$ has a density $f_{X,Y}(x,y)$ against a reference measure and when $Y$ has a density $f_Y(y)$ against the projected measure, the density of the conditional distribution of $X$ given $Y=y$ is defined as $$ f_{X|Y}(x|y) = \dfrac{f_{X,Y}(x,y)}{f_Y(y)} $$ almost everywhere in $x$ and $y$.

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Intuition for Conditional Expectation of $\sigma$-algebra

Let $(\Omega,\mathscr{F},\mu)$ be a probability space, given a random variable $\xi:\Omega \to \mathbb{R}$ and a $\sigma$-algebra $\mathscr{G}\subseteq \mathscr{F}$ we can construct a new random variable $E[\xi|\mathscr{G}]$, which is the…
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On Fisher's exact test: What test would have been appropriate if the lady hadn't known the number of milk-first cups?

In the famous lady tasting tea experiment by RA Fisher, the lady is informed of how many milk-first/tea-first cups there are (4 for each out of 8 cups). This respects the fixed marginal total assumption of Fisher's exact test. I was imagining doing…
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What is the difference between conditioning on regressors vs. treating them as fixed?

Sometimes we assume that regressors are fixed, i.e. they are non-stochastic. I think that means all our predictors, parameter estimates etc. are unconditional then, right? Might I even go so far that they are no longer random variables? If on the…
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Expected number I will be on after drawing cards until I get an ace, 2, 3, and so forth

I am having some trouble solving the following. You draw cards from a standard 52-card deck without replacement until you get an ace. You draw from what is remaining until you get a 2. You continue on with 3. What is the expected number you will be…
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Meaning of partial correlation

From Wikipedia Formally, the partial correlation between $X$ and $Y$ given a set of $n$ controlling variables $Z = \{Z_1, Z_2, …, Z_n\}$, written $ρ_{XY·Z}$, is the correlation between the residuals $RX$ and $RY$ resulting from the linear…
Tim
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conditional on the total, what is the distribution of negative binomials

If $x_1, x_2, \ldots, x_n$ are i.i.d. negative binomial, then what is the distribution of $(x_1, x_2, \ldots, x_n)$ given $x_1 + x_2 + \ldots + x_n = N\quad$? $N$ is fixed. If $x_1, x_2, \ldots, x_n$ are Poisson then, conditional on the total,…
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Conditional Distribution of uniform random variable given Order statistic

I have the following question at hand: Suppose $U,V$ are iid random variables following Unif$(0,1)$. what is the conditional distribution of $U$ given $Z:=\max(U,V)$ ? I tried writing $Z=\Bbb{I}\cdot V+(1-\Bbb{I})\cdot U$ where…
Qwerty
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Computation of Conditional Expectation on $\sigma$-algebras

I have not really seen any probability books calculate conditional expectation, except for $\sigma$-algebras generated by a discrete random variable. They simply state the existence of conditional expectation, along with its properties, and leave it…
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How do you interpret the condition number of a correlation matrix

I have two correlation matrices, one with a condition number of 9 and the other with a condition number of 70. From what i have read, it will appear that the first matrix is better conditioned than the other based on these figures alone, but i am…
Jaja
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Standard normal distribution on a subspace

Let $U \subset \mathbb{R}^n$ be a vector space with $\dim(U)=d$. A standard normal distribution on $U$ is the law of a random vector $X=(X_1, \ldots, X_n)$ taking values in $U$ and such that the coordinates of $X$ in one ($\iff$ in any) orthonormal…
Stéphane Laurent
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Simulate Gaussian variables conditional on their sum of squares

Consider a $d$-dimensional Gaussian random vector $\mathbf{Z}=[Z_i]_i$ with mean $\boldsymbol{\mu}$ and covariance matrix $\boldsymbol{\Sigma}$. What would be the more efficient method(s) to simulate $\mathbf{Z}$ conditional on the sum of squares of…
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Sample random variables conditional on their sum

Let $(X_1, \dots, X_n)$ be an iid sample of random variables with a known continuous distribution. I would like to simulate such a sample, conditional on the value of its sum, that is: $$ X_1, \dots, X_n | \sum_{k=1}^n X_k = s $$ If I was…
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Explanation that the prior predictive (marginal) distribution follows from prior and sampling distributions

While I have a vague intuition that this makes sense, I am interested in the formal demonstration that the prior predictive distribution in Bayesian inference is equal to the integral over $\theta$ of the product of the prior distribution…
Constantin
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Variance of Bernoulli when success probability varies

Say the success probability $X$ is a random variable with mean $\mu$ and Variance $\sigma^2$ which takes values in $[0,1]$. How can I compute the variance of a random Variable $Y$ which is 1 with probability $X$ and 0 with probability $1-X$. So…
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Is there a difference in interpretation between $Y|X = m(X) + \epsilon$ vs. $Y = m(X) + \epsilon$?

I understand that $E(Y|X)$ and $E(Y)$ are different, but difference sources, when $Y$ is a function of other random variables such as $X$, use $Y|X$ and $Y$ to describe this relationship. I'm not sure if this is a notational thing, but does…
Yandle
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