A note on Conditional Probability and Conditional Expectation

Prof. Soumen Manna

Goa Institute of Management, Goa, India

Let X and Y are two random variables. In this note, we will learn how to solve any problem regarding
conditional probability or conditional expectation under joint distribution (X,Y ).

1. Conditional Probability

Any question regarding conditional probability falls under the following form

P(X ∈ A|Y ∈ B),

where, A and B are subsets of the sample space of X and Y , respectively.

1.1. When X and Y are discrete

Let f (x, y) be the joint pmf of (X,Y ) and f (x), f (y) are the marginal pmf for X, Y , respectively.

Case-1: If both A = {x0 } and B = {y0 } contain singleton point. Then

P(X = x0 , Y = y0 ) f (x0 , y0 )
P(X ∈ A|Y ∈ B) ≡ P(X = x0 |Y = y0 ) = = .
P(Y = y0 ) f (y0 )

Case-2: If A = {x0 }, a singleton point, and B = {y1 , y2 , . . . , yn } contains n point. Then

n
P(X = x0 , Y ∈ {y1 , y2 , . . . , yn }) ∑ j=1 f (x0 , y j )
P(X ∈ A|Y ∈ B) ≡ P(X = x0 |Y ∈ {y1 , y2 , . . . , yn }) = = .
P(Y ∈ {y1 , y2 , . . . , yn }) ∑nj=1 f (y j )

Case-3: If A = {x1 , x2 , . . . , xm } contains m points and B = {y0 } contains a singleton point. Then

P(X ∈ {x1 , x2 , . . . , xm }, Y = y0 ) ∑m f (xi , y0 )

P(X ∈ A|Y ∈ B) ≡ P(X ∈ {x1 , x2 , . . . , xm }|Y = y0 ) = = i=1 .
P(Y = y0 ) f (y0 )

Case-4: If A = {x1 , x2 , . . . , xm } contains m points, and B = {y1 , y2 , . . . , yn } contains n point. Then

P(X ∈ A|Y ∈ B)

≡ P(X ∈ {x1 , x2 , . . . , xm }|Y ∈ {y1 , y2 , . . . , yn })

m n
P(X ∈ {x1 , x2 , . . . , xm }, Y ∈ {y1 , y2 , . . . , yn }) ∑i=1 ∑ j=1 f (xi , y j )
= = .
P(Y ∈ {y1 , y2 , . . . , yn }) ∑nj=1 f (y j )

1.2. When X and Y are continuous

Let f (x, y) is the joint pdf of (X,Y ) and f (x), f (y) are the marginal pdf for X, Y , respectively.

Case-1: If both A = {x0 } and B = {y0 } contain singleton point. Then

P(X ∈ A|Y ∈ B) ≡ P(X = x0 |Y = y0 ) = 0 (single point for conditional density X).

Preprint submitted to SPL August 6, 2023

Case-2: If A = {x0 }, a singleton point, and B is an interval (c, d). Then

P(X ∈ A|Y ∈ B) ≡ P(X = x0 |Y ∈ (c, d)) = 0 (single point for conditional density X).

Case-3: If A is an interval (a, b) and B = {y0 } contains a singleton point. Then you need to first calculate

f (x, y0 )
f (x|y0 ) = .
f (y0 )

And then, Z b
P(X ∈ A|Y ∈ B) ≡ P(X ∈ (a, b)|Y = y0 ) = f (x|y0 ) dx.
a

Case-4: If A is an interval (a, b) and B is an interval (c, d). Then you need to first calculate
Rd
f (x, y) dy
f (x|y ∈ (c, d)) = Rc d .
c f (y) dy

And then, Z b
P(X ∈ A|Y ∈ B) ≡ P(X ∈ (a, b)|Y ∈ (c, d)) = f (x|y ∈ (c, d)) dx.
a

2. Conditional Expectation

Any question regarding conditional expectation falls under the following form

E(g(X)|Y ∈ B),

where, g(X) is a function of X and B is a subset of the sample space of Y .

2.1. When X and Y are discrete

Let f (x, y) be the joint pmf of (X,Y ) and f (x), f (y) are the marginal pmf for X, Y , respectively. Let R(x)
is the range of X.

Case-1: If B = {y0 } contains a singleton point. Then first find the conditional pmf function f (x|y0 ) as

P(X = x, Y = y0 ) f (x, y0 )
f (x|y0 ) = = (for all x ∈ R(x)).
P(Y = y0 ) f (y0 )

And then
E(g(X)|Y = y0 ) = ∑ g(xi ) f (xi |y0 ).
xi ∈R(x)

Case-2: If B = {y1 , y2 , . . . , yn } contains n points. Then first find the conditional pmf function f (x|y ∈ B) as
n
P(X = x, Y ∈ {y1 , y2 , . . . , yn }) ∑ j=1 f (x, y j )
f (x|y ∈ B) = = n , (for all x ∈ R(x)).
P(Y ∈ {y1 , y2 , . . . , yn }) ∑ j=1 f (y j )

And then
E(g(X)|Y ∈ B) = ∑ g(xi ) f (xi |y ∈ B).
xi ∈R(x)

2.2. When X and Y are continuous

Let f (x, y) be the joint pdf of (X,Y ) and f (x), f (y) are the marginal pdf for X, Y , respectively.

2
Case-1: If B = {y0 } contains a singleton point. Then, first find the conditional pdf function f (x|y0 ) as

f (x, y0 )
f (x|y0 ) = .
f (y0 )

Then Z ∞
E(g(X)|Y = y0 ) = g(x) f (x|y0 ) dx.
−∞

Case-2: If B = (c, d) is an interval. Then, first find the conditional pdf function f (x|y ∈ (c, d)) as
Rd
f (x, y) dy
f (x|y ∈ (c, d)) = Rc d .
c f (y) dy

Then Z ∞
E(g(X)|Y ∈ (c, d)) = g(x) f (x|y ∈ (c, d)) dx.
−∞

Here, in this note, we describe rules for (X|Y ) variable. If question comes for (Y |X) variable, the roles of X
and Y will interchange for the above rules accordingly.