Difference between $operatornameVar(Y)$ and $operatornameVar(Ymid X)$?

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What is the difference between $mathrmvar(Y)$ and $mathrmvar(Ymid X)$? If $Y = c + beta X$ and $operatornamevar(X)=sigma^2$, won't both come out to be the same, i.e., $beta^2sigma^2$?
statistics variance
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What is the difference between $mathrmvar(Y)$ and $mathrmvar(Ymid X)$? If $Y = c + beta X$ and $operatornamevar(X)=sigma^2$, won't both come out to be the same, i.e., $beta^2sigma^2$?
statistics variance
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up vote
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What is the difference between $mathrmvar(Y)$ and $mathrmvar(Ymid X)$? If $Y = c + beta X$ and $operatornamevar(X)=sigma^2$, won't both come out to be the same, i.e., $beta^2sigma^2$?
statistics variance
What is the difference between $mathrmvar(Y)$ and $mathrmvar(Ymid X)$? If $Y = c + beta X$ and $operatornamevar(X)=sigma^2$, won't both come out to be the same, i.e., $beta^2sigma^2$?
statistics variance
statistics variance
edited Sep 22 at 3:24
Michael Hardy
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asked Sep 21 at 18:03
Ethan Smith
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3 Answers
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Note that we always have $E[f(X)|X] = f(X)$. Loosely speaking, given $X$ there is no randomness in $f(X)$, so we expect the conditional variance to be zero.
Let $f(x) = c+ beta x$.
begineqnarray
operatornamevar (f(X)|X) &=& E [ (f(X)-E[f(X)|X])^2 | X] \
&=& E [ (f(X)-f(X))^2 | X] \
&=& E[0 | X] \
&=& 0
endeqnarray
On the other hand (note that in this case we have $E[f(X)] = f(EX)$).
begineqnarray
operatornamevar (f(X)) &=& E [ (f(X)-E[f(X)])^2 ] \
&=& E [ (f(X)-f(EX))^2] \
&=& E[(beta(X-EX))^2] \
&=& beta ^2 E[(X-EX)^2] \
&=& beta^2 operatornamevar X \
&=& beta^2 sigma^2
endeqnarray
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$operatornameVar(Y)=mathbbE(Y-mathbbE(Y))^2$ is a number. Var(Y|X) is the conditional variance of $Y$ given $X$:
$$
operatornameVar(Ymid X):=mathbbE[(Y-mathbbE[Ymid X])^2mid X]
$$
is a function of the random variable $X$.
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Note that given the value of $X$, $Y$ ceases to be random (presuming $beta$ and $c$ are constants). Therefore, $$mathrmvar(Y|X) = 0.$$
On the other hand, if $X$ is not known then $Y$ can take on different values. Therefore, $mathrmvar(Y) neq 0$. In fact, $mathrmvar(Y) = beta^2 mathrmvar(X)=beta^2 sigma^2$.
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3 Answers
3
active
oldest
votes
3 Answers
3
active
oldest
votes
active
oldest
votes
active
oldest
votes
up vote
4
down vote
accepted
Note that we always have $E[f(X)|X] = f(X)$. Loosely speaking, given $X$ there is no randomness in $f(X)$, so we expect the conditional variance to be zero.
Let $f(x) = c+ beta x$.
begineqnarray
operatornamevar (f(X)|X) &=& E [ (f(X)-E[f(X)|X])^2 | X] \
&=& E [ (f(X)-f(X))^2 | X] \
&=& E[0 | X] \
&=& 0
endeqnarray
On the other hand (note that in this case we have $E[f(X)] = f(EX)$).
begineqnarray
operatornamevar (f(X)) &=& E [ (f(X)-E[f(X)])^2 ] \
&=& E [ (f(X)-f(EX))^2] \
&=& E[(beta(X-EX))^2] \
&=& beta ^2 E[(X-EX)^2] \
&=& beta^2 operatornamevar X \
&=& beta^2 sigma^2
endeqnarray
add a comment |Â
up vote
4
down vote
accepted
Note that we always have $E[f(X)|X] = f(X)$. Loosely speaking, given $X$ there is no randomness in $f(X)$, so we expect the conditional variance to be zero.
Let $f(x) = c+ beta x$.
begineqnarray
operatornamevar (f(X)|X) &=& E [ (f(X)-E[f(X)|X])^2 | X] \
&=& E [ (f(X)-f(X))^2 | X] \
&=& E[0 | X] \
&=& 0
endeqnarray
On the other hand (note that in this case we have $E[f(X)] = f(EX)$).
begineqnarray
operatornamevar (f(X)) &=& E [ (f(X)-E[f(X)])^2 ] \
&=& E [ (f(X)-f(EX))^2] \
&=& E[(beta(X-EX))^2] \
&=& beta ^2 E[(X-EX)^2] \
&=& beta^2 operatornamevar X \
&=& beta^2 sigma^2
endeqnarray
add a comment |Â
up vote
4
down vote
accepted
up vote
4
down vote
accepted
Note that we always have $E[f(X)|X] = f(X)$. Loosely speaking, given $X$ there is no randomness in $f(X)$, so we expect the conditional variance to be zero.
Let $f(x) = c+ beta x$.
begineqnarray
operatornamevar (f(X)|X) &=& E [ (f(X)-E[f(X)|X])^2 | X] \
&=& E [ (f(X)-f(X))^2 | X] \
&=& E[0 | X] \
&=& 0
endeqnarray
On the other hand (note that in this case we have $E[f(X)] = f(EX)$).
begineqnarray
operatornamevar (f(X)) &=& E [ (f(X)-E[f(X)])^2 ] \
&=& E [ (f(X)-f(EX))^2] \
&=& E[(beta(X-EX))^2] \
&=& beta ^2 E[(X-EX)^2] \
&=& beta^2 operatornamevar X \
&=& beta^2 sigma^2
endeqnarray
Note that we always have $E[f(X)|X] = f(X)$. Loosely speaking, given $X$ there is no randomness in $f(X)$, so we expect the conditional variance to be zero.
Let $f(x) = c+ beta x$.
begineqnarray
operatornamevar (f(X)|X) &=& E [ (f(X)-E[f(X)|X])^2 | X] \
&=& E [ (f(X)-f(X))^2 | X] \
&=& E[0 | X] \
&=& 0
endeqnarray
On the other hand (note that in this case we have $E[f(X)] = f(EX)$).
begineqnarray
operatornamevar (f(X)) &=& E [ (f(X)-E[f(X)])^2 ] \
&=& E [ (f(X)-f(EX))^2] \
&=& E[(beta(X-EX))^2] \
&=& beta ^2 E[(X-EX)^2] \
&=& beta^2 operatornamevar X \
&=& beta^2 sigma^2
endeqnarray
edited Sep 21 at 18:43
answered Sep 21 at 18:28
copper.hat
124k558156
124k558156
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up vote
2
down vote
$operatornameVar(Y)=mathbbE(Y-mathbbE(Y))^2$ is a number. Var(Y|X) is the conditional variance of $Y$ given $X$:
$$
operatornameVar(Ymid X):=mathbbE[(Y-mathbbE[Ymid X])^2mid X]
$$
is a function of the random variable $X$.
add a comment |Â
up vote
2
down vote
$operatornameVar(Y)=mathbbE(Y-mathbbE(Y))^2$ is a number. Var(Y|X) is the conditional variance of $Y$ given $X$:
$$
operatornameVar(Ymid X):=mathbbE[(Y-mathbbE[Ymid X])^2mid X]
$$
is a function of the random variable $X$.
add a comment |Â
up vote
2
down vote
up vote
2
down vote
$operatornameVar(Y)=mathbbE(Y-mathbbE(Y))^2$ is a number. Var(Y|X) is the conditional variance of $Y$ given $X$:
$$
operatornameVar(Ymid X):=mathbbE[(Y-mathbbE[Ymid X])^2mid X]
$$
is a function of the random variable $X$.
$operatornameVar(Y)=mathbbE(Y-mathbbE(Y))^2$ is a number. Var(Y|X) is the conditional variance of $Y$ given $X$:
$$
operatornameVar(Ymid X):=mathbbE[(Y-mathbbE[Ymid X])^2mid X]
$$
is a function of the random variable $X$.
answered Sep 21 at 18:25
user10354138
2,7297
2,7297
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up vote
2
down vote
Note that given the value of $X$, $Y$ ceases to be random (presuming $beta$ and $c$ are constants). Therefore, $$mathrmvar(Y|X) = 0.$$
On the other hand, if $X$ is not known then $Y$ can take on different values. Therefore, $mathrmvar(Y) neq 0$. In fact, $mathrmvar(Y) = beta^2 mathrmvar(X)=beta^2 sigma^2$.
add a comment |Â
up vote
2
down vote
Note that given the value of $X$, $Y$ ceases to be random (presuming $beta$ and $c$ are constants). Therefore, $$mathrmvar(Y|X) = 0.$$
On the other hand, if $X$ is not known then $Y$ can take on different values. Therefore, $mathrmvar(Y) neq 0$. In fact, $mathrmvar(Y) = beta^2 mathrmvar(X)=beta^2 sigma^2$.
add a comment |Â
up vote
2
down vote
up vote
2
down vote
Note that given the value of $X$, $Y$ ceases to be random (presuming $beta$ and $c$ are constants). Therefore, $$mathrmvar(Y|X) = 0.$$
On the other hand, if $X$ is not known then $Y$ can take on different values. Therefore, $mathrmvar(Y) neq 0$. In fact, $mathrmvar(Y) = beta^2 mathrmvar(X)=beta^2 sigma^2$.
Note that given the value of $X$, $Y$ ceases to be random (presuming $beta$ and $c$ are constants). Therefore, $$mathrmvar(Y|X) = 0.$$
On the other hand, if $X$ is not known then $Y$ can take on different values. Therefore, $mathrmvar(Y) neq 0$. In fact, $mathrmvar(Y) = beta^2 mathrmvar(X)=beta^2 sigma^2$.
answered Sep 21 at 18:26
Math Lover
13.1k31333
13.1k31333
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