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Thu 11 Oct, 2012 04:21 pm
Let X and Y be positive random variables. Construct an example to show that it is possible to have E[X | Y ] >Y and E[Y | X] >X, with probability 1, and explain why this does not contradict the facts E[E[X | Y ]] = E[X] and E[E[Y | X]] = E[Y ].
Hint: Let N bea geometric randomvariable with parameter p, and fix some m> 0. Let (X,Y )=(mN ,mN−1) or (X,Y )=(mN−1,mN ), with equal probability.
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