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February 19th, 2015, 03:30 AM  #1 
Newbie Joined: Feb 2015 From: Ireland Posts: 3 Thanks: 0  Expected value  above a certain amount  Normal Distribution
Hello guys please help me with this as I've hit the wall I have a normal distribution with mean and standard deviation  which is fine. I can calculate the distribution and I can sample from it etc I want to calculate the expected value of a distribution above a certain point. Does anyone know the formula for calculating this? So if I my mean is 2000 and standard deviation of 500 what is the expected value above say 1000? thanks 
February 19th, 2015, 04:43 AM  #2 
Senior Member Joined: Feb 2012 Posts: 144 Thanks: 16 
You mean, if X~N(2000,500) P(X>1000) or E(XX>1000) ?

February 19th, 2015, 04:54 AM  #3 
Newbie Joined: Feb 2015 From: Ireland Posts: 3 Thanks: 0 
Thanks mehoul I think I'm after a formula to calculate E(XX>1000)

February 19th, 2015, 05:30 AM  #4 
Senior Member Joined: Feb 2012 Posts: 144 Thanks: 16 
So you just have to integrate the function x*f(x) where f(x) is the gaussian density (with mean = 2000 and sd = 500) from 1000 to infinity, and divide the result by P(X>1000) which is the integral of the gaussian density from 1000 to infinity.

February 19th, 2015, 05:45 AM  #5  
Newbie Joined: Feb 2015 From: Ireland Posts: 3 Thanks: 0  Quote:
Any help on a simple formula to do this integration within excel/vba?  

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amount, distribution, expected, normal 
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