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I would like to know if the law of the unconscious statistician can be applied for stochastic processes.

If so, can someone provide a reference?

Thanks

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The law of the unconscious statistician is a basic theorem of probability, and it can be applied whenever you know the distribution of a random variable and want the expected value of a function of it. That does happen a lot in stochastic processes. Just about any text on stochastic processes should include tons of examples.

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  • $\begingroup$ Thank you. I went over some textbooks however when coming to the stochastic process they did not mention nothing about LOTUS rule. $\endgroup$ – jdeJuan Feb 14 at 15:52
  • $\begingroup$ In many cases this is used routinely without comment. That's why it's called "unconscious". $\endgroup$ – Robert Israel Feb 14 at 17:58

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