This time, I'm trying to compute
where are the standard Gaussian pdf and cdf. The parameters a, b, and c are arbitrary constants.
I noticed some other threads on difficult Gaussian integrals, but this one has the added issue of these parameters. I am trying to apply the technique from the other thread -- could somebody please let me know if I'm on the right track? I write
where . This is where , yielding an answer of .
Last edited by sven svenson; 02-04-2011 at 03:27 PM.
Can you elaborate a bit on why the integral in the second equation (a probability times a pdf) gives the probability P(X <= Y)? It just is not sinking in why this is so.
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