Timeline for Process equivalent to conditional probability
Current License: CC BY-SA 2.5
5 events
| when toggle format | what | by | license | comment | |
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| Jun 22, 2010 at 13:22 | comment | added | Mark Meckes | I assume $\rho$ is the density of $X$. Then your first equality is not correct. The density of $Z_t$ should be $\frac{\rho(x/P[X > t])}{P[X > t]}$. | |
| Jun 22, 2010 at 7:36 | history | edited | Grzenio | CC BY-SA 2.5 |
Added proof
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| Jun 22, 2010 at 7:33 | comment | added | Grzenio | I was also surprised that it works, please see the edit to the answer. | |
| Jun 21, 2010 at 14:32 | comment | added | Mark Meckes |
I don't think that does what you want. In this case you get $P[Z_t > T] = P[X > (T \cdot P[X>t])]$, but what you want is $P[Z_t > T] = P[X > T] / P[X>t]$ for $T > t$.
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| Jun 21, 2010 at 10:05 | history | answered | Grzenio | CC BY-SA 2.5 |