use of dblquad with conditions over the domain of the variables.
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Good afternoon,
I have the following problem,
Imagine you have 2 normal random variables, x and y, independent from each other. I want to calculate the expected value of x, given that (silly example) x*y is above 0.05.
This requires a double integral over the x and y that satisfy the condition. I tried by
Ex=dblquad(@integrand,-10,10,-10,10);
where, inside the function "integrand" I told matlab that if the condition is satisfied x*y>0.05, take the value of z=x*fx*fy, and if not z=[].
But the code does not work because dblquad does not accept empty vectors arising from "integrand".
Would you have any suggestion? A different approach?
Many thanks, Luis.
2 Comments
Elif
on 11 Mar 2013
Hi there,
The way I see it you should explicit the constraints in the call to dblquad.
Rather than writing -10,10 call another function that captures the x and y's you want to use.
Maybe someone else can point out more about this.
Hope it helps.
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