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probability or statistics - TransformedDistribution with Conditioned



Is the following attempt beyond Mathematica 11?


Z = TransformedDistribution[ (A + B)/2 \[Conditioned] A < B, {A \[Distributed] NormalDistribution[mA , sA], B \[Distributed] NormalDistribution[mB , sB]}]

When I try to get Mathematica to show me the PDF of Z, it doesn't work. I tried:


 PDF[Z, y]

Answer



It is possible to derive an exact solution to this problem.


Given: $X$ and $Y$ are independent random variables where $X \sim N(\mu_1, \sigma_1^2)$ and $Y \sim N(\mu_2, \sigma_2^2)$, with parameter conditions:


enter image description here


Problem: Find the pdf of $\frac{X+Y}{2} \; \big| \; X < Y$




  1. Joint pdf of $(X,Y)$:


By independence, the joint pdf of $(X,Y)$, say $f(x,y)$ is simply the product of the individual pdf's:


enter image description here



  1. Let $V = X - Y$. Then $V \sim N(\mu_1 - \mu_2, \sigma_1^2 + \sigma_2^2)$ with cdf $\Phi(v)$.


Let constant $c = P(X which is: (take care here with non-standard Mma notation)


enter image description here




  1. Conditional joint pdf:


The conditional pdf $f\big((x,y) \; \big| \; X is then fcon:


enter image description here


where all the dependence is captured within the fcon statement using the Boole statement, and we can enter the 'domain' as a rectangular structure on the real line, i.e.


domain[fcon] = domain[f]


  1. Transformation $Z = \frac{X+Y}{2}$



Given the conditional joint pdf $f\big((x,y) \; \big| \; X ... let $Z = \frac{X+Y}{2}$ and $W = X$. Then the joint conditional pdf of $(Z,W)$, say $g(z,w)$, is obtained with:


enter image description here


where I am using the Transform function from the mathStatica package for Mathematica, and the domain can again be entered as a rectangular set as:


enter image description here


Then, the marginal pdf of $Z = \frac{X+Y}{2}$ is:


enter image description here


... which is the exact solution. All done.



The following plot compares:





  • the exact symbolic pdf derived above (red dashed curve)




  • ... to the Monte Carlo simulated pdf (squiggly blue curve)




... here when: $\mu_1 = -1, \mu_2 = 4, \sigma_1 = 1, \sigma_2 = 12$


Looks fine.



enter image description here


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