Conditional variance
- From: xavier.brusset_@_at**uclouvain.be
- Date: Fri, 19 Oct 2007 15:41:38 GMT
Hi,
I am not too good in statistics;
yet I have to evaluate the conditional variance of a random variable with
known mean and variance.
apparently
Var(X |X<q) = E([X - E(X|X<q)]^2 |X<q)
This is a function in q.
My question is:
Can this function be written as:
var(q) = int_{-inf}^q (x- mux(q))^2 f(x) dx
where: f(x) is the pdf of the random variable
and mux(q) is the conditional mean:
mux(q)= int_{-inf}^q x f(x)dx
Along the same line, I also need to evaluate the conditional variance:
var(q) = var((X - q) P | X > q )
where P is a second random variable which is correlated positively to X.
Any help appreciated.
--
Xavier Brusset
PhD
UCL
.
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