Consider two non-independent gaussian random variables: $$(t,c)∼\text{BiNormal}[(𝜇𝑡,𝜇𝑐),(𝜎𝑡,𝜎𝑐),𝜌]$$
I'm interested in understanding when (i.e. for which values of the distribution parameters) it's true that $$\frac{\partial E[t |c<f(t)+x]}{\partial x}>0$$ where
f[t_]:=b*CDF[NormalDistribution[μa, σa], t]
What I've tried:
I've tried generating an analytical expression for the conditional expectation, but this fails (output same as input)
Expectation[t \[Conditioned] c < b*CDF[NormalDistribution[μa, σa], t] + x,
{t, c} \[Distributed] BinormalDistribution[{μt, μc}, {σt, σc}, ρ]]
I've also tried spelling out the expectation via integrals over the joint distribution, and then taking derivatives. This does produce a valid analytical output, but I cannot reduce the expression (error message "This system cannot be solved with the methods available to Reduce")
D[Integrate[t*PDF[BinormalDistribution[{µt, µc}, {σt, σc}, ρ], {t, c}],
{c, -∞, CDF[NormalDistribution[µa, σa], t] + x}, {t, -∞, ∞}]/
Integrate[PDF[BinormalDistribution[{µt, µc}, {σt, σc}, ρ], {t, c}],
{c, -∞, CDF[NormalDistribution[µa, σa], t] + x}, {t, -∞, ∞}], x]
Here is a related question on the analytical treatment of this problem: https://math.stackexchange.com/questions/3692958/parameters-for-which-conditional-expectation-of-non-independent-gaussian-variabl
Expectation
code has some errors. There no suchBiNormal
function. It should beBinormalDistribution
. There are parentheses where there should be curly brackets. $\endgroup$d = BinormalDistribution[{\[Mu]t, \[Mu]c}, {\[Sigma]t, \[Sigma]c}, \ \[Rho]]; f[t_, b_] := b*CDF[NormalDistribution[\[Mu]a, \[Sigma]a], t]; D[Expectation[ t \[Conditioned] c < f[t, b] + x, {t, c} \[Distributed] d], x]
$\endgroup$