- #1
trance_dude
- 3
- 0
Homework Statement
Hello,
have a stats question I am hoping you guys can help with. The expectation of a function g of a random variable X is:
E[g(X)] = [tex]\int^{\infty}_{-\infty}[/tex] g(x)fx(x)dx
where fx is the pdf of X. For example, the particular expectation I am considering right now is:
E[g(X)] = [tex]\int^{-\infty}_{\infty}\frac{1}{1+ax^{2}}\cdot \frac{1}{\sqrt{2\pi}}[/tex][tex]e^{-x^{2} / 2}dx[/tex]
this form of integral (i.e. containing that particular e term) must happen often whenever one takes the expectation of a function which depends on a normal random variable. In general, what is the best approach to solve such integrals in closed form here? Integration by parts? I know that the normal curve itself must be integrated using a "trick" such as switching to polar coordinates. Integration by parts might help me isolate the e term to do so, but actually in this case I am not making much progress using that method because the other (first) term has x in the denominator. Any thoughts as to a general approach and/or to this specific problem are much appreciated. thanks!