Recent content by kobe87

Yeah it's true. In my previous post I was assuming discontinuity of the pdf in my proof. Thanks for the help.

I did the proof. It is 1/2 For any distribution

Thanks for the reply. I agree that looking at the limit of M(y) as y→0+ is the same problem as well as the fact that the limit is 1/2 for the cases you mentioned. For the problem that I have in mind it is fine that the result of the limit depends on the shape of the distribution. However, I...

Suppose that X is a random variable distributed in the interval [a;b] with pdf f(x) and cdf F(x). Clearly, F(b)=1. I only observe X for values that are bigger than y. I know that E(X|X>y)=\frac{\int_y^b xf(x)dx}{1-F(y)}. Moreover, \frac{∂E(X|X>y)}{∂y}=\frac{f(y)}{1-F(y)}[E(X|X>y)-y] I...