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Thread: Partial derivative of Normal CDF

  1. #1
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    Oct 2010
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    5

    Partial derivative of Normal CDF

    I'm trying this:

    $\displaystyle
    P(x)=\int_{-\infty}^{x} \frac{1}{\sqrt{2\pi\sigma^2}} e^{-\frac{t^2}{2\sigma^2}} dt
    $

    which is just the gaussian function with $\displaystyle \mu=0 $.

    I wanna get:

    $\displaystyle
    \frac{\partial F}{\partial \sigma}=?
    $

    Any ideas?
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  2. #2
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    Oct 2010
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    Correction: $\displaystyle \frac{\partial P}{\partial \sigma} = ? $
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