TEOREMA DELLE MEDIE CONDIZIONATE

Ai ∩ Aj = ∀ " i ≠ j; i, j = 1, 2, 3,..., k
k

∪A =S
i =1
i

X ∼ fX ( x)
+∞
E(X ) = ∫ x ⋅ f ( x ) ⋅dx
X
−∞
Per il teorema delle probabilità totali si può scrivere:
k
f X ( x ) ⋅ dx = P ( x < X ≤ x + dx ) = ∑ P ( x < X ≤ x + dx Ai ) ⋅ P ( Ai ) =
i =1
k
= ∑ f X Ai ( x ) ⋅ dx ⋅ P ( Ai ) =
i =1
Da cui, sostituendo, si ottiene:
+∞ +∞ k
EX ( X ) = ∫ x ⋅ f X ( x ) ⋅dx = ∫ x ⋅ ∑ f X Ai ( x ) ⋅ P ( Ai ) ⋅ dx =
−∞ −∞ i =1

k ⎡ +∞
⎤ k
= ∑ ⎢ ∫ x ⋅ f X Ai ( x ) ⋅ dx ⎥ ⋅ P ( Ai ) = ∑ E X ( X Ai ) ⋅ P ( Ai )
i =1 ⎣ −∞ ⎦ i =1

Generalizzando, assegnate due v.a. e la loro funzione densità di probabilità congiunta, si può
scrivere:
+∞ +∞
⎡ +∞ ⎤
E X ( X ) = ∫ x ⋅ f X ( x ) ⋅dx = ∫ x ⋅ ⎢ ∫ f X ,Y ( x, y ) ⋅ dy ⎥ ⋅dx =
−∞ −∞ ⎣ −∞ ⎦
+∞ +∞ +∞ +∞
= ∫∫ x ⋅ f X ,Y ( x, y ) ⋅dx ⋅ dy = ∫ ∫ x⋅ f X Y=y ( x ) ⋅ fY ( y ) ⋅dx ⋅ dy =
−∞ −∞ −∞ −∞
+∞
⎡ +∞ ⎤ +∞
= ∫−∞ ⎢⎣ −∞∫ X Y = y ( ) ⎥⎦ Y ( ) −∞∫ EX ( X Y = y ) ⋅ fY ( y ) dy =
x ⋅ f x ⋅ dx f y dy =

= EY ⎡⎣ E X ( X Y = y ) ⎤⎦