Conditional variance

In statistics, conditional variance is a special form of the variance. If we have a conditional distribution Y|X the conditional variance is defined as


 * $$\operatorname{Var}(Y|X) = E((Y - E(Y|X))^{2}|X),$$

where $$E$$ is the expectation operator. Conditional variances are important parts of ARCH models.

See also law of total variance.