FAQFAQ   SearchSearch   MemberlistMemberlist   UsergroupsUsergroups 
 ProfileProfile   PreferencesPreferences   Log in to check your private messagesLog in to check your private messages   Log inLog in 
Forum index » Science and Technology » Math » num-analysis
A problem about E(x|x>y)
Post new topic   Reply to topic Page 1 of 1 [1 Post] View previous topic :: View next topic
Author Message
Joe Zhang
science forum beginner


Joined: 10 Dec 2005
Posts: 12

PostPosted: Tue Jul 18, 2006 11:05 pm    Post subject: A problem about E(x|x>y) Reply with quote

I met a problem which was to calculate the mean of x given that x > y.
Both x and y are normal random variables, but they may have different
mean and variance. Besides, they are independent.

Let us use mx, sx and my, sy to represent their mean and standard
deviation, respectively. I formulate E(x|x>y) as follows:

E(x|x>y) = constant * \int_{x=-\infty}^{\infty} \int_{y=-\infty}^{x}
x * exp( -(x-mx)^2/2sx^2 ) * exp( -(y-my)^2/2*sy^2 ) dx dy

It turns out that the double integral can be simplified only when mx =
0. Since it looks like a very general problem in mathematics, I was
wondering if there is any method to solve the problem completely. Or,
is it a known function which can only be evaluated by numerical methods?
Back to top
Google

Back to top
Display posts from previous:   
Post new topic   Reply to topic Page 1 of 1 [1 Post] View previous topic :: View next topic
The time now is Tue Jun 27, 2017 3:28 am | All times are GMT
Forum index » Science and Technology » Math » num-analysis
Jump to:  

Similar Topics
Topic Author Forum Replies Last Post
No new posts help on problem brb003 Math 0 Mon Aug 28, 2006 3:31 am
No new posts fraction problem mikerule Research 0 Thu Aug 24, 2006 5:10 am
No new posts Mod computer problem William Elliot Math 4 Fri Jul 21, 2006 12:07 pm
No new posts Divine apparitions in the tethered goat problem? jpalmour@gmail.com Math 6 Thu Jul 20, 2006 8:26 pm
No new posts possible to use Generalized Method of Moments for this pr... comtech Math 1 Thu Jul 20, 2006 12:49 am

Copyright © 2004-2005 DeniX Solutions SRL
Other DeniX Solutions sites: Electronics forum |  Medicine forum |  Unix/Linux blog |  Unix/Linux documentation |  Unix/Linux forums  |  send newsletters
 


Powered by phpBB © 2001, 2005 phpBB Group
[ Time: 0.0182s ][ Queries: 16 (0.0049s) ][ GZIP on - Debug on ]