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A general treatment of alternative expectation formulae

Accepted version
Peer-reviewed

Type

Article

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Abstract

The moment of a positive random variable can be obtained by using the survival function. In this paper, we extend existing studies by giving formulae of the expectation of a more general function with respect to a random variable by using either cumulative distribution function or survival function. Both univariate and multivariate examples are given. These formulae can evaluate the expectation when obtaining the probability density/mass function is difficult.

Description

Keywords

Expectation, Singular distribution, Cumulative distribution function, Survival function, Monte Carlo simulation

Journal Title

Statistics and Probability Letters

Conference Name

Journal ISSN

0167-7152
1879-2103

Volume Title

166

Publisher

Elsevier BV