I am writing a piece of work and have a situation where I have a 'double' conditional.
e.g. The event of Y = y conditional on X = x; the event X = x is also conditional on parameter z.
What's the convention to write this concisely?
$$P(Y = y \ | \ X|z = x)$$
$$P(Y = y \ | \ X = x ; z)$$
Suppose random variable $X$ has a probability distribution that is dependent on some parameter $z$.
Then we might write $\mathsf P(X=x; z) \mathop{:=} f_X(x;z)$ as long as we've established what the parameter $z$ means.
Then a conditional probability of a second random variable, $Y$ with respect to $X$ could be written $\mathsf P(Y=y\mid X=x; z)\mathop{:=}f_{Y\mid X}(y \mid x;z)$.
Note: $Y$ itself may, or may not, have a distribution dependent on the parameter $z$.
