Thread: Variance Reduction with Conditional expectation

1. Variance Reduction with Conditional expectation

Suppose that we have a normal variable Y with mean 1 and variance 1 and suppose that conditional on Y=y, X is a normal random variable with mean y and variance 4. We want to use simulations to estimate theta = P(X>1).

How would I do such an estimation?

2. Post the question as worded by wherever you are getting it from, please.