試題詳解

8. X , Y , Z are random variables, which of the following statement about conditional means is not true?
(A) E[ E (Y / X )] = E (Y ) .
(B) If X and Y are independent, then E (Y / X ) = E (Y ) .
(C) E (Y / X ) = E[ E (Y / X , Z ) / X ] .
(D) If Cov( X , Y ) = 0 , then E (Y / X ) = E (Y ) must hold.