All Questions
8 questions
3
votes
1
answer
146
views
Convolution between normal distribution and the maximum over $m$ Gaussian draws
$\DeclareMathOperator\erf{erf}$
Let's consider the Gaussian distribution $P_X(x)= \frac{1}{\sqrt{2 \pi \sigma^2}} e^{- \frac{x^2}{2 \sigma^2}}$. Now consider the random variable $W \equiv \max \{ X_1, ...
- 305
2
votes
1
answer
330
views
Probability density of a hyperplane for a Gaussian distribution
I have a vector $\mathbf{x}$ with a multivariate Gaussian distribution
$$P[\textbf{x}\in S]
=\int_{\textbf{x}\in S}
\det(2\pi H^{-1})^{-1/2}\exp(-\frac{1}{2} \textbf{x}^T H\textbf{x}) \, d\textbf{x}$$...
- 162
2
votes
0
answers
207
views
Gaussian integrals and Showing $ \int f({\vec {x}})e^{\left(-{\frac {1}{2}}\sum \limits _{i,j=1}^{n}A_{ij}x_{i}x_{j}\right)}d^{n}x=e^{D}f|_{x=0}$
This is related to my other question on tackling a gaussian integral for $f(w,u)=\frac{1}{w-u}$.
Q1 Suggestions on evaluating gaussian integrals with "nice" functions (not necessarily polynomials)
...
- 5,474
1
vote
2
answers
163
views
Integral with linear function, Normal PDF, Normal CDF
I am trying to calculate the following integral:
$$\int_a^\infty x \Phi(cx+d) \phi\left(\frac{x-\mu}{\sigma}\right) dx,$$
where $\Phi$, $\phi$ denote the CDF and PDF of the standard Normal $N(0,1)$.
I ...
- 49
1
vote
1
answer
152
views
The monotonicity of the bivariate normal with non-isotropic covariance
Let $Y = (Y_1, Y_2) \sim N(0, 11^T + I)$, be a bivariate normal random variable with non-isotropic covariance.
Define $y = (y_1, y_2)$ and let
\begin{align}
F_{\delta}(y) = \Pr[Y_1 > y_1 - \delta, ...
- 113
1
vote
1
answer
613
views
Integral of the product of a gaussian pdf and cdf
I am trying to solve the integral of a gaussian cumulative distribution function and a gaussian probability function. On this site I have seen solutions of similar, less general integrals (e.g. ...
- 11
1
vote
1
answer
666
views
Definite integral of 2d Gaussian
Is there some analytic expression or even an approximation of the definite 2D Gaussian integral of the form: $$E=\int_a^b Dg \int_{cg+d}^\infty Dh$$ where $Dg=\frac{dg}{\sqrt{2 \pi}} e^{-g^2/2}$ and a,...
- 373
0
votes
1
answer
102
views
Sign of expectation value
Consider a multivariate Gaussian-type measure $$d\lambda(x):=\nu_{\mu,\Sigma} e^{-\langle (x-\mu), \Sigma^{-1}(x-\mu) \rangle - \vert x \vert^2} $$
with vector $\mu \in \mathbb R^n$ and $\Sigma$ ...
- 536