Variance decomposition
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The well-known variance decomposition rule is given by:
Var[W] = Var[E[W | V]] + E[Var[W | V]]
See also iterated expectations and law of total variance for proof.
The well-known variance decomposition rule is given by:
Var[W] = Var[E[W | V]] + E[Var[W | V]]
See also iterated expectations and law of total variance for proof.