Calculating the mean and percentiles of a distribution function

milo0071 · Dec 1, 2009

I have a fairly complicated pdf for Brownian motion with drift for first passage time and would like to calculate the mean and percentiles of the pdf. Is there a straightforward way of going about this? I can plot the distribution.

bpet · Dec 1, 2009

For the percentiles you'll need the cdf.

EnumaElish · Dec 2, 2009

I'll suggest simulation; unless you need to express them as algebraic expressions.

Calculating the mean and percentiles of a distribution function

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Calculating the mean and percentiles of a distribution function

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