Pearson's Eta squared and conditional expectation

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Andrea Cantamessa
Andrea Cantamessa 2016 年 3 月 16 日
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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