My Math Forum Max Transformation of a normal distributed random variable

 February 6th, 2014, 05:25 AM #1 Newbie   Joined: Jan 2014 Posts: 10 Thanks: 0 Max Transformation of a normal distributed random variable Dear Focrum, I have the following question that i have not been able to work out. It is out of pure interest. Given a normal distributed random variable with: $\rho \sim N(\bar{\rho},\sigma_{\rho}^2)$ What is then the distribution of the max-transformed random variable $\epsilon= \max(\rho,c)$ where $c$ is some constant. Thank you in advance!

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