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A conditional expectation is the expectation of a random variable, given information on another variable or variables (mostly, by specifying their value).
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What is going on? Contradictory results on the variance of random vector with random mean an...
Suppose $f\mid\mu, F\sim N(\mu, F) \in \mathbb{R}^n$, where $\mu , F$ are both random (random vectors and random matrix respectively).
What is the correct way to derive $Var(f)$?
First, let $\tilde{f} …