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Feb 16, 2014 at 17:21 comment added Sauer Well, no worries, the derivation looks great, and thanks very much for that.
Feb 16, 2014 at 17:18 comment added Bjørn Kjos-Hanssen yes, should be 0
Feb 16, 2014 at 17:13 comment added Sauer The imaginary component should be zero, right? I'm a little confused because you said "maybe zero" in a previous comment?
Feb 16, 2014 at 17:11 comment added Sauer Well, I see an increase in the magnitude of the imaginary component with increasing working precision. This tells me that it's likely a bug or some problem with rounding.
Feb 16, 2014 at 17:08 comment added Sauer Try $r = 0.1$. In both Maple and Mathematica, I see an imaginary component. Since I have Mathematica up at the moment, I find an expectation of: $1.0025 - 3.1372*10^{-11} i$ for $r = 0.1$. The magnitude of the imaginary component appears to increase with additional working precision.
Feb 16, 2014 at 16:57 comment added Sauer Apologies, my previous comments regarding an imaginary component in the expectation, while unresolved, must be a problem with Maple. I do not see an issue with the derivation of the PDF for $h_2$.
Feb 16, 2014 at 8:13 vote accept Sauer
Feb 16, 2014 at 8:07 history edited Bjørn Kjos-Hanssen CC BY-SA 3.0
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Feb 15, 2014 at 7:55 history edited Bjørn Kjos-Hanssen CC BY-SA 3.0
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Feb 13, 2014 at 20:03 history answered Bjørn Kjos-Hanssen CC BY-SA 3.0