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Gaussian functions / distributions / processes...
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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. … $$\int_{s_2=-\infty }^{s_2=y}
\phi(s;\mu;\sigma)\times \Phi(r;
cs_2;\tau)
\text{d}{s} $$
where Φ is the cdf of a gaussian distribution, and ϕ its density. …