Question: For any two random variables X and Y with E[X 2 ], E[Y 2 ] < , show that Var(X) = Var(E[X|Y ]) + E[Var(X|Y

For any two random variables X and Y with E[X2], E[Y2] < , show that Var(X) = Var(E[X|Y ]) + E[Var(X|Y )].

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