Thread: Expectation

Hey,

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!

Hey Juju.

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).

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.

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).