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In probability and statistics, a probability distribution assigns a probability to each measurable subset of the possible outcomes of a random experiment, survey, or procedure of statistical inference.

2 votes
1 answer
147 views

Smooth conditional expectation with nonsmooth "reverse"

I am looking for a concrete example of the following: $(X,Y)$ are real-valued random variables such that: $E[Y|X]$ is smooth $E[X|Y]$ is discontinuous Even better, I'd like to see an example where a …