e****t
发帖数: 766 | 1 If X and Y are Bivariate normal distribution
P(X>a | Y>b) , does it have a closed form ?
I guess no. | s*****b
发帖数: 106 | 2 No. But it also depends on what do you mean by 'closed form'?
Is \Phi( ) closed form?
It is easy to write out P(X>a, Y>b)
and P(Y>b) by integral form, but I do not think there is closed form for the
results of these two integrals.
【在 e****t 的大作中提到】
: If X and Y are Bivariate normal distribution
: P(X>a | Y>b) , does it have a closed form ?
: I guess no.
| e****t
发帖数: 766 | 3 thanks a lot !
just try correlation 0 < rho < 0.3, it seems : P(X>a | Y>b) very close to :
P(X>a) .
anyway, let it be |
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