Let V=X+Y where X and Y are independent random variables, both normally distributed with μ=0 and σ=1. I am interested in computing E[X∣V≥c] where c is an arbitrary constant. This is E[X∣V>c]=11−Φv(c)∫∞c∫∞−∞x⋅fX(x)⋅fY(v−x)dx dv In Mathematica, with c=0.5, I am coding
1/(1 - CDF[NormalDistribution[0, 1], 0.5])
Integrate[
x PDF[NormalDistribution[0, 1], x] PDF[NormalDistribution[0, 1],
v - x], {x, -Infinity, Infinity}, {v, 0.5, Infinity}]
but this seems a very difficult problem for Mathematica to solve, taking a long time and sometimes not solving at all. If I use NIntegrate it is done instantly instead. My question is whether this is to be expected, or whether there is a way to do it symbolically in a more efficient way.
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