Some of the things I've learned every day since Oct 10, 2016
38: Orthogonality Property of Conditional Expectation
November 17, 2016Posted by on
The orthogonality property of conditional expectation states that, where are random variables, is the conditional expectation of dependent on , and is any function of ,
This can be interpreted as meaning that the ‘vector’/function is orthogonal to the space of functions of , which implies that gives the minimum mean squared error of given .