3 ms·
Wouldn’t it be even faster to solve that problem conditionally? P(x >= a)P(y >= a | x >= a), since the conditional distribution is known and normal?
by gbrown 5y ago
Wouldn’t it be even faster to solve that problem conditionally? P(x >= a)P(y >= a | x >= a), since the conditional distribution is known and normal?
- mathrando 5y agoYou still need to integrate over x. y|x=c is Gaussian for each c, but there are many such c's in [a,inf]. If you're curious: https://www.ams.org/journals/mcom/1978-32-141/S0025-5718-1978-0461849-9/S0025-5718-1978-0461849-9.pdf https://www.ams.org/journals/mcom/1978-32-141/S0025-5718-197...
- gbrown 5y agoAh, duh. Not enough coffee.