Double Gaussian definite integral with one variable limit
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I am interested in solving a definite double integral of the following form:
beginalign
f(a,b) &= int_0^infty expBig(frac-x^22aBig)int_x^infty expBig(frac-y^22bBig) dydx\
&= int_0^infty expBig(frac-x^22aBig)texterfcBig(fracxsqrt2bBig)dx,
endalign
for $a,b>0$, where erfc is the complementary error function. One potential way to go would be to use a power-series expansion (e.g., see answer by robjohn to this question or this paper), but I'm finding that a bit difficult to follow. I'm wondering if anybody has any ideas about ways to get an approximate answer. For now, I'm just trying to see if I can fit the numerical solution with a function of $a$ and $b$.
definite-integrals normal-distribution gaussian-integral error-function
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up vote
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I am interested in solving a definite double integral of the following form:
beginalign
f(a,b) &= int_0^infty expBig(frac-x^22aBig)int_x^infty expBig(frac-y^22bBig) dydx\
&= int_0^infty expBig(frac-x^22aBig)texterfcBig(fracxsqrt2bBig)dx,
endalign
for $a,b>0$, where erfc is the complementary error function. One potential way to go would be to use a power-series expansion (e.g., see answer by robjohn to this question or this paper), but I'm finding that a bit difficult to follow. I'm wondering if anybody has any ideas about ways to get an approximate answer. For now, I'm just trying to see if I can fit the numerical solution with a function of $a$ and $b$.
definite-integrals normal-distribution gaussian-integral error-function
add a comment |Â
up vote
0
down vote
favorite
up vote
0
down vote
favorite
I am interested in solving a definite double integral of the following form:
beginalign
f(a,b) &= int_0^infty expBig(frac-x^22aBig)int_x^infty expBig(frac-y^22bBig) dydx\
&= int_0^infty expBig(frac-x^22aBig)texterfcBig(fracxsqrt2bBig)dx,
endalign
for $a,b>0$, where erfc is the complementary error function. One potential way to go would be to use a power-series expansion (e.g., see answer by robjohn to this question or this paper), but I'm finding that a bit difficult to follow. I'm wondering if anybody has any ideas about ways to get an approximate answer. For now, I'm just trying to see if I can fit the numerical solution with a function of $a$ and $b$.
definite-integrals normal-distribution gaussian-integral error-function
I am interested in solving a definite double integral of the following form:
beginalign
f(a,b) &= int_0^infty expBig(frac-x^22aBig)int_x^infty expBig(frac-y^22bBig) dydx\
&= int_0^infty expBig(frac-x^22aBig)texterfcBig(fracxsqrt2bBig)dx,
endalign
for $a,b>0$, where erfc is the complementary error function. One potential way to go would be to use a power-series expansion (e.g., see answer by robjohn to this question or this paper), but I'm finding that a bit difficult to follow. I'm wondering if anybody has any ideas about ways to get an approximate answer. For now, I'm just trying to see if I can fit the numerical solution with a function of $a$ and $b$.
definite-integrals normal-distribution gaussian-integral error-function
asked Aug 21 at 14:09
funtoast
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2 Answers
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Assuming $a,b$ to be real and positive
$$I=int_0^infty e^-fracx^22 a, texterfcleft(fracxsqrt2b right),dx=sqrt2a int_0^infty e^-y^2 texterfcleft(sqrtfrac a b, yright),dy$$ Now, using series
$$texterfc(z)=1-frac2sqrtpisum_n=0^inftyfrac(-1)^n n!, (2n+1)z^2n+1$$ integrate termwise using the fact that
$$int_0^infty e^-z^2z^2n+1,dz=fracn!2$$ to get
$$I=sqrt2aleft(sqrtfrac pi 2-frac 1sqrt pisum_n=0^inftyfrac(-1)^n (2n+1)left(sqrtfrac a bright)^2n+1right)$$
$$I=sqrt2aleft(sqrtfrac pi 2-frac 1sqrt pitan ^-1left(sqrtfracabright)right)=sqrtfrac2api tan ^-1left(sqrtfracbaright)$$
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Consider $(X,Y)$ i.i.d. standard normal, then $$f(a,b)=2pisqrtabP(sqrt bY>sqrt aX>0)$$ The distribution of $(X,Y)$ is rotationally invariant hence, for every $c>0$, $$P(Y>cX>0)=fracpi/2-vartheta2pi$$ where $vartheta$ in $(0,pi/2)$ solves $$tanvartheta=c$$ Thus, $$f(a,b)=sqrtab(pi/2-arctansqrta/b)=sqrtabarctansqrtb/a$$
Thanks! Looks like your result and the one below from @ClaudeLeibovici are equivalent, no?
â funtoast
Aug 23 at 12:17
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2 Answers
2
active
oldest
votes
2 Answers
2
active
oldest
votes
active
oldest
votes
active
oldest
votes
up vote
1
down vote
Assuming $a,b$ to be real and positive
$$I=int_0^infty e^-fracx^22 a, texterfcleft(fracxsqrt2b right),dx=sqrt2a int_0^infty e^-y^2 texterfcleft(sqrtfrac a b, yright),dy$$ Now, using series
$$texterfc(z)=1-frac2sqrtpisum_n=0^inftyfrac(-1)^n n!, (2n+1)z^2n+1$$ integrate termwise using the fact that
$$int_0^infty e^-z^2z^2n+1,dz=fracn!2$$ to get
$$I=sqrt2aleft(sqrtfrac pi 2-frac 1sqrt pisum_n=0^inftyfrac(-1)^n (2n+1)left(sqrtfrac a bright)^2n+1right)$$
$$I=sqrt2aleft(sqrtfrac pi 2-frac 1sqrt pitan ^-1left(sqrtfracabright)right)=sqrtfrac2api tan ^-1left(sqrtfracbaright)$$
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up vote
1
down vote
Assuming $a,b$ to be real and positive
$$I=int_0^infty e^-fracx^22 a, texterfcleft(fracxsqrt2b right),dx=sqrt2a int_0^infty e^-y^2 texterfcleft(sqrtfrac a b, yright),dy$$ Now, using series
$$texterfc(z)=1-frac2sqrtpisum_n=0^inftyfrac(-1)^n n!, (2n+1)z^2n+1$$ integrate termwise using the fact that
$$int_0^infty e^-z^2z^2n+1,dz=fracn!2$$ to get
$$I=sqrt2aleft(sqrtfrac pi 2-frac 1sqrt pisum_n=0^inftyfrac(-1)^n (2n+1)left(sqrtfrac a bright)^2n+1right)$$
$$I=sqrt2aleft(sqrtfrac pi 2-frac 1sqrt pitan ^-1left(sqrtfracabright)right)=sqrtfrac2api tan ^-1left(sqrtfracbaright)$$
add a comment |Â
up vote
1
down vote
up vote
1
down vote
Assuming $a,b$ to be real and positive
$$I=int_0^infty e^-fracx^22 a, texterfcleft(fracxsqrt2b right),dx=sqrt2a int_0^infty e^-y^2 texterfcleft(sqrtfrac a b, yright),dy$$ Now, using series
$$texterfc(z)=1-frac2sqrtpisum_n=0^inftyfrac(-1)^n n!, (2n+1)z^2n+1$$ integrate termwise using the fact that
$$int_0^infty e^-z^2z^2n+1,dz=fracn!2$$ to get
$$I=sqrt2aleft(sqrtfrac pi 2-frac 1sqrt pisum_n=0^inftyfrac(-1)^n (2n+1)left(sqrtfrac a bright)^2n+1right)$$
$$I=sqrt2aleft(sqrtfrac pi 2-frac 1sqrt pitan ^-1left(sqrtfracabright)right)=sqrtfrac2api tan ^-1left(sqrtfracbaright)$$
Assuming $a,b$ to be real and positive
$$I=int_0^infty e^-fracx^22 a, texterfcleft(fracxsqrt2b right),dx=sqrt2a int_0^infty e^-y^2 texterfcleft(sqrtfrac a b, yright),dy$$ Now, using series
$$texterfc(z)=1-frac2sqrtpisum_n=0^inftyfrac(-1)^n n!, (2n+1)z^2n+1$$ integrate termwise using the fact that
$$int_0^infty e^-z^2z^2n+1,dz=fracn!2$$ to get
$$I=sqrt2aleft(sqrtfrac pi 2-frac 1sqrt pisum_n=0^inftyfrac(-1)^n (2n+1)left(sqrtfrac a bright)^2n+1right)$$
$$I=sqrt2aleft(sqrtfrac pi 2-frac 1sqrt pitan ^-1left(sqrtfracabright)right)=sqrtfrac2api tan ^-1left(sqrtfracbaright)$$
answered Aug 22 at 7:05
Claude Leibovici
112k1155127
112k1155127
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up vote
0
down vote
Consider $(X,Y)$ i.i.d. standard normal, then $$f(a,b)=2pisqrtabP(sqrt bY>sqrt aX>0)$$ The distribution of $(X,Y)$ is rotationally invariant hence, for every $c>0$, $$P(Y>cX>0)=fracpi/2-vartheta2pi$$ where $vartheta$ in $(0,pi/2)$ solves $$tanvartheta=c$$ Thus, $$f(a,b)=sqrtab(pi/2-arctansqrta/b)=sqrtabarctansqrtb/a$$
Thanks! Looks like your result and the one below from @ClaudeLeibovici are equivalent, no?
â funtoast
Aug 23 at 12:17
add a comment |Â
up vote
0
down vote
Consider $(X,Y)$ i.i.d. standard normal, then $$f(a,b)=2pisqrtabP(sqrt bY>sqrt aX>0)$$ The distribution of $(X,Y)$ is rotationally invariant hence, for every $c>0$, $$P(Y>cX>0)=fracpi/2-vartheta2pi$$ where $vartheta$ in $(0,pi/2)$ solves $$tanvartheta=c$$ Thus, $$f(a,b)=sqrtab(pi/2-arctansqrta/b)=sqrtabarctansqrtb/a$$
Thanks! Looks like your result and the one below from @ClaudeLeibovici are equivalent, no?
â funtoast
Aug 23 at 12:17
add a comment |Â
up vote
0
down vote
up vote
0
down vote
Consider $(X,Y)$ i.i.d. standard normal, then $$f(a,b)=2pisqrtabP(sqrt bY>sqrt aX>0)$$ The distribution of $(X,Y)$ is rotationally invariant hence, for every $c>0$, $$P(Y>cX>0)=fracpi/2-vartheta2pi$$ where $vartheta$ in $(0,pi/2)$ solves $$tanvartheta=c$$ Thus, $$f(a,b)=sqrtab(pi/2-arctansqrta/b)=sqrtabarctansqrtb/a$$
Consider $(X,Y)$ i.i.d. standard normal, then $$f(a,b)=2pisqrtabP(sqrt bY>sqrt aX>0)$$ The distribution of $(X,Y)$ is rotationally invariant hence, for every $c>0$, $$P(Y>cX>0)=fracpi/2-vartheta2pi$$ where $vartheta$ in $(0,pi/2)$ solves $$tanvartheta=c$$ Thus, $$f(a,b)=sqrtab(pi/2-arctansqrta/b)=sqrtabarctansqrtb/a$$
edited Aug 23 at 17:23
answered Aug 21 at 14:36
Did
243k23208443
243k23208443
Thanks! Looks like your result and the one below from @ClaudeLeibovici are equivalent, no?
â funtoast
Aug 23 at 12:17
add a comment |Â
Thanks! Looks like your result and the one below from @ClaudeLeibovici are equivalent, no?
â funtoast
Aug 23 at 12:17
Thanks! Looks like your result and the one below from @ClaudeLeibovici are equivalent, no?
â funtoast
Aug 23 at 12:17
Thanks! Looks like your result and the one below from @ClaudeLeibovici are equivalent, no?
â funtoast
Aug 23 at 12:17
add a comment |Â
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