Question: Let X = aY + b. Then E[X|Y = y] = E[aY + b|Y = y] = ay + b. Here, we have g(y) =

Let X = aY + b. Then E[X|Y = y] = E[aY + b|Y = y] = ay + b. Here, we have g(y) = ay + b, and therefore, E[X|Y ] = aY + b, which is a function of the random variable Y.

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