- #1
nikozm
- 54
- 0
Hello,
i m trying to evaluate the following:
r*x - r*y ≤ g, where r,x,y are nonnegative random variables of different distribution families and g is a constant nonnegative value.
Then, Pr[r*x - r*y ≤ g] = Pr[r*x ≤ g + r*y] = ∫ Fr x(g + r*y)*fr*y(y) dy, where F(.) and f(.) denote CDF and PDF, respectively.
The above formula works for independent variables. I m not sure if it works for correlated variables (the above are correlated due to the "r" variable in both "r*x" and "r*y").
Any help would be useful.
Thanks
i m trying to evaluate the following:
r*x - r*y ≤ g, where r,x,y are nonnegative random variables of different distribution families and g is a constant nonnegative value.
Then, Pr[r*x - r*y ≤ g] = Pr[r*x ≤ g + r*y] = ∫ Fr x(g + r*y)*fr*y(y) dy, where F(.) and f(.) denote CDF and PDF, respectively.
The above formula works for independent variables. I m not sure if it works for correlated variables (the above are correlated due to the "r" variable in both "r*x" and "r*y").
Any help would be useful.
Thanks