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    comparison with normal distribution truncated




    Hello,

    I would to know how to calculate the probability that X > Y when Y is greater than a given value p (X and Y are random variable following normal distribution). I think that it is equivalent to caculate Y - X > 0 with X and Y are normal discutribution truncated at p.

    Thanks,
    Pascal

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    Re: comparison with normal distribution truncated

    Do you mean Y is truncated normal but X is ordinary normal?

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    Re: comparison with normal distribution truncated

    Both X and Y are truncated normal.

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    Re: comparison with normal distribution truncated

    My problem is the follow : I have two prices (X and Y) that follow a normal distribution and I would like to compare this prices (X > Y) above a given minimum price. In a more formal way, I think it could be expressed as P(X > Y | Y > p) where p is the minimum price.

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    Re: comparison with normal distribution truncated

    Quote Originally Posted by pascal34 View Post
    Both X and Y are truncated normal.
    Why is X truncated as well? I took your original statement to mean P(X > Y | Y > p)
    I don't have emotions and sometimes that makes me very sad.

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    Re: comparison with normal distribution truncated

    Quote Originally Posted by pascal34 View Post
    My problem is the follow : I have two prices (X and Y) that follow a normal distribution and I would like to compare this prices (X > Y) above a given minimum price.
    Just one of them being above the minimum price or both? Are the two random variables independent?
    I don't have emotions and sometimes that makes me very sad.

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    Re: comparison with normal distribution truncated

    hi,
    maybe 1 -P(X<=Y| Y> p) could do the trick? This would be 1- P(p<X<Y) I guess.

    regards
    rogojel

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    Re: comparison with normal distribution truncated


    Quote Originally Posted by Dason View Post
    Just one of them being above the minimum price or both? Are the two random variables independent?
    Both are above the minimum price. Yes variables are independent.

    Sorry for the lack of precision.

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