If $X sim mathcal{N}(mu, sigma^2)$, what is the derivative of the probability that $X geq 0$ w.r.t. $mu$ and...












1












$begingroup$


I have a variable, $X$, which is normally distributed



$$X sim mathcal{N}(mu, sigma^2)$$



I also have an event, $A$, which measures the probability that $X$ is greater than or equal to 0.
$$P[A] = P[X geq 0] = lim_{b to +infty} int_{x=0}^{x=b} f(x),dx quad text{f(x) is PDF of X}$$



I'd like to know what the derivative of $P[A]$ is w.r.t. $mu$ and $sigma^2$.



$$frac{partial P[A]}{partial mu} $$
$$frac{partial P[A]}{partial sigma^2}$$



I think this is really simple because I'm looking for the derivative of an integral, but would like to make sure I'm doing it right:



$$frac{partial P[A]}{partial mu} = frac{partial}{partial mu} lim_{b->+infty} f(b) - f(0) = frac{partial}{partial mu} f(0) $$
$$frac{partial P[A]}{partial sigma^2} = frac{partial}{partial sigma^2} lim_{b->+infty} f(b) - f(0) = frac{partial}{partial sigma^2} f(0)$$



where



$$f(x) = frac{1}{sqrt{2pisigma^2}}e^{-frac{(x-mu)^2}{2sigma^2}}$$



Are the above equations correct?










share|cite|improve this question









$endgroup$

















    1












    $begingroup$


    I have a variable, $X$, which is normally distributed



    $$X sim mathcal{N}(mu, sigma^2)$$



    I also have an event, $A$, which measures the probability that $X$ is greater than or equal to 0.
    $$P[A] = P[X geq 0] = lim_{b to +infty} int_{x=0}^{x=b} f(x),dx quad text{f(x) is PDF of X}$$



    I'd like to know what the derivative of $P[A]$ is w.r.t. $mu$ and $sigma^2$.



    $$frac{partial P[A]}{partial mu} $$
    $$frac{partial P[A]}{partial sigma^2}$$



    I think this is really simple because I'm looking for the derivative of an integral, but would like to make sure I'm doing it right:



    $$frac{partial P[A]}{partial mu} = frac{partial}{partial mu} lim_{b->+infty} f(b) - f(0) = frac{partial}{partial mu} f(0) $$
    $$frac{partial P[A]}{partial sigma^2} = frac{partial}{partial sigma^2} lim_{b->+infty} f(b) - f(0) = frac{partial}{partial sigma^2} f(0)$$



    where



    $$f(x) = frac{1}{sqrt{2pisigma^2}}e^{-frac{(x-mu)^2}{2sigma^2}}$$



    Are the above equations correct?










    share|cite|improve this question









    $endgroup$















      1












      1








      1





      $begingroup$


      I have a variable, $X$, which is normally distributed



      $$X sim mathcal{N}(mu, sigma^2)$$



      I also have an event, $A$, which measures the probability that $X$ is greater than or equal to 0.
      $$P[A] = P[X geq 0] = lim_{b to +infty} int_{x=0}^{x=b} f(x),dx quad text{f(x) is PDF of X}$$



      I'd like to know what the derivative of $P[A]$ is w.r.t. $mu$ and $sigma^2$.



      $$frac{partial P[A]}{partial mu} $$
      $$frac{partial P[A]}{partial sigma^2}$$



      I think this is really simple because I'm looking for the derivative of an integral, but would like to make sure I'm doing it right:



      $$frac{partial P[A]}{partial mu} = frac{partial}{partial mu} lim_{b->+infty} f(b) - f(0) = frac{partial}{partial mu} f(0) $$
      $$frac{partial P[A]}{partial sigma^2} = frac{partial}{partial sigma^2} lim_{b->+infty} f(b) - f(0) = frac{partial}{partial sigma^2} f(0)$$



      where



      $$f(x) = frac{1}{sqrt{2pisigma^2}}e^{-frac{(x-mu)^2}{2sigma^2}}$$



      Are the above equations correct?










      share|cite|improve this question









      $endgroup$




      I have a variable, $X$, which is normally distributed



      $$X sim mathcal{N}(mu, sigma^2)$$



      I also have an event, $A$, which measures the probability that $X$ is greater than or equal to 0.
      $$P[A] = P[X geq 0] = lim_{b to +infty} int_{x=0}^{x=b} f(x),dx quad text{f(x) is PDF of X}$$



      I'd like to know what the derivative of $P[A]$ is w.r.t. $mu$ and $sigma^2$.



      $$frac{partial P[A]}{partial mu} $$
      $$frac{partial P[A]}{partial sigma^2}$$



      I think this is really simple because I'm looking for the derivative of an integral, but would like to make sure I'm doing it right:



      $$frac{partial P[A]}{partial mu} = frac{partial}{partial mu} lim_{b->+infty} f(b) - f(0) = frac{partial}{partial mu} f(0) $$
      $$frac{partial P[A]}{partial sigma^2} = frac{partial}{partial sigma^2} lim_{b->+infty} f(b) - f(0) = frac{partial}{partial sigma^2} f(0)$$



      where



      $$f(x) = frac{1}{sqrt{2pisigma^2}}e^{-frac{(x-mu)^2}{2sigma^2}}$$



      Are the above equations correct?







      calculus normal-distribution






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      asked Dec 7 '18 at 5:41









      michaelsnowdenmichaelsnowden

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          $begingroup$

          No you can't to do that.You're mixing up the fundamental theorem of calculus among other things. You could use Leibnitz integral rule ! Remember by definition of partial derivative :



          $$ frac{partial }{partial mu} int_0^infty f^X(x,mu,sigma) dx = lim_{h to 0} int_0^infty frac{f^X(x,mu+h,sigma) - f^X(x,mu,sigma)}{h} dx$$



          Under certain conditions you can pass the limit under the integral sign and you'll get



          $$ frac{partial }{partial mu} int_0^infty f^X(x,mu,sigma) dx = int_0^infty frac{partial}{partial mu}(f^X(x,mu,sigma))dx.$$



          Since $$ frac{partial}{partial mu}(f^X(x,mu,sigma)) = frac{1}{sqrt{2pisigma^2}}frac{-1}{2sigma^2}(2mu -2x)e^{-frac{(x-mu)^2}{2 sigma^2}} =
          frac{1}{sqrt{2pisigma^2}}frac{x - mu}{sigma^2}e^{-frac{(x-mu)^2}{2 sigma^2}}$$



          you'll get
          begin{align*}
          int_0^{infty}frac{partial}{partial mu}(f^X(x,mu,sigma)) dx &=
          int_0^{infty}frac{1}{sqrt{2pisigma^2}}frac{x - mu}{sigma^2}e^{-frac{(x-mu)^2}{2 sigma^2}} dx. \
          end{align*}



          Change of variable $ t = frac{x- mu}{sigma^2} iff x = sigma^2 t + mu $ and "$dx = sigma^2 dt$ ", $x = 0 rightarrow t = - frac{mu}{sigma^2}$



          begin{align*}
          int_0^{infty}frac{partial}{partial mu}(f^X(x,mu,sigma)) dx &=
          int_{-frac{mu}{sigma^2}}^{infty} frac{sigma^2}{sqrt{2pisigma^2}} t exp(-frac{t^2}{2}) dt. \
          &= frac{sigma^2}{sqrt{2pisigma^2}} int_{-frac{mu}{sigma^2}}^{infty} t exp(-frac{t^2}{2}) dt\
          &= frac{- sigma^2}{sqrt{2pisigma^2}} big[t exp (-t^2/2)big]_{-mu/sigma^2}^infty\
          &= frac{- sigma^2}{sqrt{2pisigma^2}} Big( 0 - big( frac{- mu}{sigma^2}exp{frac{-mu^2}{2 sigma^4}}big) Big) \
          &= frac{- mu}{sqrt{2pisigma^2}}exp{frac{-mu^2}{2 sigma^4}}.
          end{align*}






          share|cite|improve this answer











          $endgroup$





















            2












            $begingroup$

            Since $Z:=frac{X-mu}{sigma}simmathcal{N}(0,,1)$ has pdf $phi(z):=frac{1}{sqrt{2pi}}exp-frac{z^2}{2}$, $P(Xge 0)=1-int_{-infty}^{-mu/sigma}phi(z)dz$. Differentiation with respect to $mu$ gives $frac{1}{sigma}phi(-frac{mu}{sigma})$; differentiation with respect to $sigma$ gives $-frac{mu}{sigma^2}phi(-frac{mu}{sigma})$. In both cases, since $phi$ is even we can delete the $-$ sign in its argument.






            share|cite|improve this answer









            $endgroup$













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              2 Answers
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              $begingroup$

              No you can't to do that.You're mixing up the fundamental theorem of calculus among other things. You could use Leibnitz integral rule ! Remember by definition of partial derivative :



              $$ frac{partial }{partial mu} int_0^infty f^X(x,mu,sigma) dx = lim_{h to 0} int_0^infty frac{f^X(x,mu+h,sigma) - f^X(x,mu,sigma)}{h} dx$$



              Under certain conditions you can pass the limit under the integral sign and you'll get



              $$ frac{partial }{partial mu} int_0^infty f^X(x,mu,sigma) dx = int_0^infty frac{partial}{partial mu}(f^X(x,mu,sigma))dx.$$



              Since $$ frac{partial}{partial mu}(f^X(x,mu,sigma)) = frac{1}{sqrt{2pisigma^2}}frac{-1}{2sigma^2}(2mu -2x)e^{-frac{(x-mu)^2}{2 sigma^2}} =
              frac{1}{sqrt{2pisigma^2}}frac{x - mu}{sigma^2}e^{-frac{(x-mu)^2}{2 sigma^2}}$$



              you'll get
              begin{align*}
              int_0^{infty}frac{partial}{partial mu}(f^X(x,mu,sigma)) dx &=
              int_0^{infty}frac{1}{sqrt{2pisigma^2}}frac{x - mu}{sigma^2}e^{-frac{(x-mu)^2}{2 sigma^2}} dx. \
              end{align*}



              Change of variable $ t = frac{x- mu}{sigma^2} iff x = sigma^2 t + mu $ and "$dx = sigma^2 dt$ ", $x = 0 rightarrow t = - frac{mu}{sigma^2}$



              begin{align*}
              int_0^{infty}frac{partial}{partial mu}(f^X(x,mu,sigma)) dx &=
              int_{-frac{mu}{sigma^2}}^{infty} frac{sigma^2}{sqrt{2pisigma^2}} t exp(-frac{t^2}{2}) dt. \
              &= frac{sigma^2}{sqrt{2pisigma^2}} int_{-frac{mu}{sigma^2}}^{infty} t exp(-frac{t^2}{2}) dt\
              &= frac{- sigma^2}{sqrt{2pisigma^2}} big[t exp (-t^2/2)big]_{-mu/sigma^2}^infty\
              &= frac{- sigma^2}{sqrt{2pisigma^2}} Big( 0 - big( frac{- mu}{sigma^2}exp{frac{-mu^2}{2 sigma^4}}big) Big) \
              &= frac{- mu}{sqrt{2pisigma^2}}exp{frac{-mu^2}{2 sigma^4}}.
              end{align*}






              share|cite|improve this answer











              $endgroup$


















                2












                $begingroup$

                No you can't to do that.You're mixing up the fundamental theorem of calculus among other things. You could use Leibnitz integral rule ! Remember by definition of partial derivative :



                $$ frac{partial }{partial mu} int_0^infty f^X(x,mu,sigma) dx = lim_{h to 0} int_0^infty frac{f^X(x,mu+h,sigma) - f^X(x,mu,sigma)}{h} dx$$



                Under certain conditions you can pass the limit under the integral sign and you'll get



                $$ frac{partial }{partial mu} int_0^infty f^X(x,mu,sigma) dx = int_0^infty frac{partial}{partial mu}(f^X(x,mu,sigma))dx.$$



                Since $$ frac{partial}{partial mu}(f^X(x,mu,sigma)) = frac{1}{sqrt{2pisigma^2}}frac{-1}{2sigma^2}(2mu -2x)e^{-frac{(x-mu)^2}{2 sigma^2}} =
                frac{1}{sqrt{2pisigma^2}}frac{x - mu}{sigma^2}e^{-frac{(x-mu)^2}{2 sigma^2}}$$



                you'll get
                begin{align*}
                int_0^{infty}frac{partial}{partial mu}(f^X(x,mu,sigma)) dx &=
                int_0^{infty}frac{1}{sqrt{2pisigma^2}}frac{x - mu}{sigma^2}e^{-frac{(x-mu)^2}{2 sigma^2}} dx. \
                end{align*}



                Change of variable $ t = frac{x- mu}{sigma^2} iff x = sigma^2 t + mu $ and "$dx = sigma^2 dt$ ", $x = 0 rightarrow t = - frac{mu}{sigma^2}$



                begin{align*}
                int_0^{infty}frac{partial}{partial mu}(f^X(x,mu,sigma)) dx &=
                int_{-frac{mu}{sigma^2}}^{infty} frac{sigma^2}{sqrt{2pisigma^2}} t exp(-frac{t^2}{2}) dt. \
                &= frac{sigma^2}{sqrt{2pisigma^2}} int_{-frac{mu}{sigma^2}}^{infty} t exp(-frac{t^2}{2}) dt\
                &= frac{- sigma^2}{sqrt{2pisigma^2}} big[t exp (-t^2/2)big]_{-mu/sigma^2}^infty\
                &= frac{- sigma^2}{sqrt{2pisigma^2}} Big( 0 - big( frac{- mu}{sigma^2}exp{frac{-mu^2}{2 sigma^4}}big) Big) \
                &= frac{- mu}{sqrt{2pisigma^2}}exp{frac{-mu^2}{2 sigma^4}}.
                end{align*}






                share|cite|improve this answer











                $endgroup$
















                  2












                  2








                  2





                  $begingroup$

                  No you can't to do that.You're mixing up the fundamental theorem of calculus among other things. You could use Leibnitz integral rule ! Remember by definition of partial derivative :



                  $$ frac{partial }{partial mu} int_0^infty f^X(x,mu,sigma) dx = lim_{h to 0} int_0^infty frac{f^X(x,mu+h,sigma) - f^X(x,mu,sigma)}{h} dx$$



                  Under certain conditions you can pass the limit under the integral sign and you'll get



                  $$ frac{partial }{partial mu} int_0^infty f^X(x,mu,sigma) dx = int_0^infty frac{partial}{partial mu}(f^X(x,mu,sigma))dx.$$



                  Since $$ frac{partial}{partial mu}(f^X(x,mu,sigma)) = frac{1}{sqrt{2pisigma^2}}frac{-1}{2sigma^2}(2mu -2x)e^{-frac{(x-mu)^2}{2 sigma^2}} =
                  frac{1}{sqrt{2pisigma^2}}frac{x - mu}{sigma^2}e^{-frac{(x-mu)^2}{2 sigma^2}}$$



                  you'll get
                  begin{align*}
                  int_0^{infty}frac{partial}{partial mu}(f^X(x,mu,sigma)) dx &=
                  int_0^{infty}frac{1}{sqrt{2pisigma^2}}frac{x - mu}{sigma^2}e^{-frac{(x-mu)^2}{2 sigma^2}} dx. \
                  end{align*}



                  Change of variable $ t = frac{x- mu}{sigma^2} iff x = sigma^2 t + mu $ and "$dx = sigma^2 dt$ ", $x = 0 rightarrow t = - frac{mu}{sigma^2}$



                  begin{align*}
                  int_0^{infty}frac{partial}{partial mu}(f^X(x,mu,sigma)) dx &=
                  int_{-frac{mu}{sigma^2}}^{infty} frac{sigma^2}{sqrt{2pisigma^2}} t exp(-frac{t^2}{2}) dt. \
                  &= frac{sigma^2}{sqrt{2pisigma^2}} int_{-frac{mu}{sigma^2}}^{infty} t exp(-frac{t^2}{2}) dt\
                  &= frac{- sigma^2}{sqrt{2pisigma^2}} big[t exp (-t^2/2)big]_{-mu/sigma^2}^infty\
                  &= frac{- sigma^2}{sqrt{2pisigma^2}} Big( 0 - big( frac{- mu}{sigma^2}exp{frac{-mu^2}{2 sigma^4}}big) Big) \
                  &= frac{- mu}{sqrt{2pisigma^2}}exp{frac{-mu^2}{2 sigma^4}}.
                  end{align*}






                  share|cite|improve this answer











                  $endgroup$



                  No you can't to do that.You're mixing up the fundamental theorem of calculus among other things. You could use Leibnitz integral rule ! Remember by definition of partial derivative :



                  $$ frac{partial }{partial mu} int_0^infty f^X(x,mu,sigma) dx = lim_{h to 0} int_0^infty frac{f^X(x,mu+h,sigma) - f^X(x,mu,sigma)}{h} dx$$



                  Under certain conditions you can pass the limit under the integral sign and you'll get



                  $$ frac{partial }{partial mu} int_0^infty f^X(x,mu,sigma) dx = int_0^infty frac{partial}{partial mu}(f^X(x,mu,sigma))dx.$$



                  Since $$ frac{partial}{partial mu}(f^X(x,mu,sigma)) = frac{1}{sqrt{2pisigma^2}}frac{-1}{2sigma^2}(2mu -2x)e^{-frac{(x-mu)^2}{2 sigma^2}} =
                  frac{1}{sqrt{2pisigma^2}}frac{x - mu}{sigma^2}e^{-frac{(x-mu)^2}{2 sigma^2}}$$



                  you'll get
                  begin{align*}
                  int_0^{infty}frac{partial}{partial mu}(f^X(x,mu,sigma)) dx &=
                  int_0^{infty}frac{1}{sqrt{2pisigma^2}}frac{x - mu}{sigma^2}e^{-frac{(x-mu)^2}{2 sigma^2}} dx. \
                  end{align*}



                  Change of variable $ t = frac{x- mu}{sigma^2} iff x = sigma^2 t + mu $ and "$dx = sigma^2 dt$ ", $x = 0 rightarrow t = - frac{mu}{sigma^2}$



                  begin{align*}
                  int_0^{infty}frac{partial}{partial mu}(f^X(x,mu,sigma)) dx &=
                  int_{-frac{mu}{sigma^2}}^{infty} frac{sigma^2}{sqrt{2pisigma^2}} t exp(-frac{t^2}{2}) dt. \
                  &= frac{sigma^2}{sqrt{2pisigma^2}} int_{-frac{mu}{sigma^2}}^{infty} t exp(-frac{t^2}{2}) dt\
                  &= frac{- sigma^2}{sqrt{2pisigma^2}} big[t exp (-t^2/2)big]_{-mu/sigma^2}^infty\
                  &= frac{- sigma^2}{sqrt{2pisigma^2}} Big( 0 - big( frac{- mu}{sigma^2}exp{frac{-mu^2}{2 sigma^4}}big) Big) \
                  &= frac{- mu}{sqrt{2pisigma^2}}exp{frac{-mu^2}{2 sigma^4}}.
                  end{align*}







                  share|cite|improve this answer














                  share|cite|improve this answer



                  share|cite|improve this answer








                  edited Dec 7 '18 at 12:56

























                  answered Dec 7 '18 at 12:31









                  DigitalisDigitalis

                  528216




                  528216























                      2












                      $begingroup$

                      Since $Z:=frac{X-mu}{sigma}simmathcal{N}(0,,1)$ has pdf $phi(z):=frac{1}{sqrt{2pi}}exp-frac{z^2}{2}$, $P(Xge 0)=1-int_{-infty}^{-mu/sigma}phi(z)dz$. Differentiation with respect to $mu$ gives $frac{1}{sigma}phi(-frac{mu}{sigma})$; differentiation with respect to $sigma$ gives $-frac{mu}{sigma^2}phi(-frac{mu}{sigma})$. In both cases, since $phi$ is even we can delete the $-$ sign in its argument.






                      share|cite|improve this answer









                      $endgroup$


















                        2












                        $begingroup$

                        Since $Z:=frac{X-mu}{sigma}simmathcal{N}(0,,1)$ has pdf $phi(z):=frac{1}{sqrt{2pi}}exp-frac{z^2}{2}$, $P(Xge 0)=1-int_{-infty}^{-mu/sigma}phi(z)dz$. Differentiation with respect to $mu$ gives $frac{1}{sigma}phi(-frac{mu}{sigma})$; differentiation with respect to $sigma$ gives $-frac{mu}{sigma^2}phi(-frac{mu}{sigma})$. In both cases, since $phi$ is even we can delete the $-$ sign in its argument.






                        share|cite|improve this answer









                        $endgroup$
















                          2












                          2








                          2





                          $begingroup$

                          Since $Z:=frac{X-mu}{sigma}simmathcal{N}(0,,1)$ has pdf $phi(z):=frac{1}{sqrt{2pi}}exp-frac{z^2}{2}$, $P(Xge 0)=1-int_{-infty}^{-mu/sigma}phi(z)dz$. Differentiation with respect to $mu$ gives $frac{1}{sigma}phi(-frac{mu}{sigma})$; differentiation with respect to $sigma$ gives $-frac{mu}{sigma^2}phi(-frac{mu}{sigma})$. In both cases, since $phi$ is even we can delete the $-$ sign in its argument.






                          share|cite|improve this answer









                          $endgroup$



                          Since $Z:=frac{X-mu}{sigma}simmathcal{N}(0,,1)$ has pdf $phi(z):=frac{1}{sqrt{2pi}}exp-frac{z^2}{2}$, $P(Xge 0)=1-int_{-infty}^{-mu/sigma}phi(z)dz$. Differentiation with respect to $mu$ gives $frac{1}{sigma}phi(-frac{mu}{sigma})$; differentiation with respect to $sigma$ gives $-frac{mu}{sigma^2}phi(-frac{mu}{sigma})$. In both cases, since $phi$ is even we can delete the $-$ sign in its argument.







                          share|cite|improve this answer












                          share|cite|improve this answer



                          share|cite|improve this answer










                          answered Dec 7 '18 at 12:40









                          J.G.J.G.

                          25.2k22539




                          25.2k22539






























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