Pearson's Eta squared and conditional expectation

16 Mär. 2016
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I am trying to compute the Pearson's Eta squared (or correlation ratio) Var[E[Y|X]]/Var[Y] of two vectors (4025,1) of stocks returns. My problem is the expectation in the numerator of the formula. Do you have any idea? Thanks a lot

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Andrea Cantamessa
Andrea Cantamessa
am 16 Mär. 2016

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