 My Math Forum Expected value - above a certain amount - Normal Distribution
 User Name Remember Me? Password

 Probability and Statistics Basic Probability and Statistics Math Forum

 February 19th, 2015, 02:30 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, 03:43 AM #2 Senior Member   Joined: Feb 2012 Posts: 144 Thanks: 16 You mean, if X~N(2000,500) P(X>1000) or E(X|X>1000) ? February 19th, 2015, 03:54 AM #3 Newbie   Joined: Feb 2015 From: Ireland Posts: 3 Thanks: 0 Thanks mehoul I think I'm after a formula to calculate E(X|X>1000) February 19th, 2015, 04:30 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, 04:45 AM   #5
Newbie

Joined: Feb 2015
From: Ireland

Posts: 3
Thanks: 0

Quote:
 Originally Posted by mehoul 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.
Thanks

Any help on a simple formula to do this integration within excel/vba? Tags amount, distribution, expected, normal Thread Tools Show Printable Version Email this Page Display Modes Linear Mode Switch to Hybrid Mode Switch to Threaded Mode Similar Threads Thread Thread Starter Forum Replies Last Post nakys Advanced Statistics 0 October 3rd, 2013 08:27 AM hoyy1kolko Algebra 1 August 1st, 2011 08:00 PM hoyy1kolko Algebra 4 July 24th, 2011 05:28 AM cloudtifa Advanced Statistics 2 October 14th, 2010 06:52 AM Zephyr Advanced Statistics 1 October 2nd, 2007 05:44 PM

 Contact - Home - Forums - Cryptocurrency Forum - Top

Copyright © 2019 My Math Forum. All rights reserved.      