I have given a normally distributed random variable and want to compute the following expectation
where denotes the indicator function.
I think that it is not possible to compute the corresponding integral explicitly. Am I right?
Thanks in advance!
November 8th 2012, 08:16 PM
Can you find the random variable corresponding to X >= 1 where X has that Normal distribution?
Hint: Use the conditional distribution of X|X>=1 where P(A|B) = P(A and B)/P(B).
November 8th 2012, 09:41 PM
Thank you for your reply,
unfortunately I do not understand what you mean by "corresponding random variable". Of course I can determine the distribution function of and the expectation is given by
But I cannot give this integral in a closed form.
November 9th 2012, 02:58 PM
You should be able to evaluate the integral: (Hint: use a substitution v = (x-mu)^2 and change from dx to dv).
Also when I say corresponding random variable I just mean the random variable that is represented algebraically with respect to the limits of the integrand.
For example I can have Y = X + 3 and from this specify a conditional probability of P(Y|X) if I know the density function for the random variable X.
Now similarly, you can have limits in the integration that correspond with a particular algebraic expression but they may not have an easy interpretation algebraically (i.e. might be a lot more complex than the relation Y = X + 3).