Question

Denote the pdf of normal distribution as $\phi(x)$ and cdf as $\Phi(x)$. Does anyone know how to calculate $\int \phi(x) \Phi(\frac{x -b}{a}) dx$? Notice that when $a = 1$ and $b = 0$ the answer is $1/2\Phi(x)^2$. Thank you!

Answer 1

We have $\phi(x)=\frac 1{\sqrt{2\pi}}\exp\left(-\frac{†^2}2\right)$ and $\Phi(x)=\int_{-\infty}^x\phi(t)dt$. We try to compute $$ I(a,b):=\int\phi(x)\Phi\left(\frac{x-b}a\right)dx.$$ Using the dominated convergence theorem, we are allowed to take the derivative with respect to $b$ inside the integral. We have $$\partial_bI(a,b)=\int\phi(x)\left(-\frac 1a\right)\phi\left(\frac{x-b}a\right)dx$$ and \begin{align} 2\pi\phi(x)\phi\left(\frac{x-b}a\right)&=\exp\left(-\frac 12\left(x^2+\frac{x^2}{a^2}-2\frac{bx}{a^2}+\frac{b^2}{a^2}\right)\right)\\ &=\exp\left(-\frac 12\frac{a^2+1}{a^2}\left(x^2-2\frac b{a^2+1}x+\frac{b^2}{a^2+1}\right)\right)\\ &=\exp\left(-\frac 12\frac{a^2+1}{a^2}\left(x-\frac b{a^2+1}\right)^2-\frac 12\frac{a^2+1}{a^2}\left(\frac{b^2}{a^2+1}-\frac{b^2}{(a^2+1)^2}\right)\right)\\ &=\exp\left(-\frac 12\frac{a^2+1}{a^2}\left(x-\frac b{a^2+1}\right)^2\right)\exp\left(-\frac{b^2}{2a^2}\frac{a^2+1-1}{a^2+1}\right)\\ &=\exp\left(-\frac 12\frac{a^2+1}{a^2}\left(x-\frac b{a^2+1}\right)^2\right)\exp\left(-\frac{b^2}{2(a^2+1)}\right). \end{align} Integrating with respect to $x$, we get that $$\partial_b I(a,b)=-\frac 1{\sqrt{a^2+1}}\phi\left(\frac b{\sqrt{a^2+1}}\right).$$ Since $\lim_{b\to +\infty}I(a,b)=0$, we have \begin{align}I(a,b)&=\int_b^{+\infty}\frac 1{\sqrt{a^2+1}}\phi\left(\frac s{\sqrt{a^2+1}}\right)ds\\ &=\int_{b\sqrt{a^2+1}}^{+\infty}\phi(t)dt. \end{align} This can be expressed with the traditional erf function.

Answer 2

shouldn't we divide - rather than multiplying - by the square root of 1+a^2 in ∫+∞ba2+1√ϕ(t)dt? thanks for your answer.

Answer 3

Thanks for your answer Davide. Is there a way to calculate the integral given by I(a,b) on a specific interval let say [u,v]? Following Davide's method there would probably be a problem when integrating I(a,b) with regard to b as there will appear a cdf term depending on b. Any help would be greatly appreciated.

Answer 4

Yes, I think that the integral should divide instead of multiplying by the square root term.

Answer 5

1. The last equation should be integral from $b/\sqrt{a^2+1}$
2. In I(a, b), a is supposed to be positive. When $a<0$, the answer will be $\int_{-\infty}^{b/\sqrt{a^2+1}} \phi(t) dt$