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    probability of one random variable being greater than another




    I took statistics many moons ago, and remember performing these calculations, but for the life of me I can't remember what this process is called, or how to do it.

    I've got two means and standard devs; how do I determine what the probability that one of the variables will be greater than the other?

    Thanks!

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    Compute the difference distribution and determine the probability that it has a value of < 0.

    mean of difference distribution = mean1 - mean2

    std dev of difference distribution = sqrt(var1 + var2)
    note--> var = (std dev)^2

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    Re: probability of one random variable being greater than another

    Manzel,
    I am sorry its been so long you asked. I believe you what you realy want to know is: Guiven 2 probab. disdtr. functions, what is the probability that one sample from the 1st will be greater than a sample from the other. If that is so, I would like to know it too. If someone read that, and know the answer or where to find it , please replay to both of us.

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    Re: probability of one random variable being greater than another


    Suppose you have two continuous random variables X, Y with a joint pdf f_{X, Y}. Then

    \Pr\{X > Y\} = \iint\limits_{\{(x,y):x > y\}} f_{X,Y}(x,y)dxdy

    = \int_{-\infty}^{+\infty} \int_y^{+\infty} f_{X,Y}(x,y)dxdy

    = \int_{-\infty}^{+\infty} \int_{-\infty}^x f_{X,Y}(x,y)dydx

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