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Math Help - Variance Reduction with Conditional expectation

  1. #1
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    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?
    Last edited by Zogru11; March 22nd 2011 at 02:10 PM.
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  2. #2
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    Post the question as worded by wherever you are getting it from, please.
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