Sunday, July 10, 2016

probability - Showing 2intinftyinftyxf(x)F(x)dx=frac1sqrtpi for standard normal pdf and cfd



i am trying to prove the identity in the title. I strongly think I need to use the error function erf(x)=2πx0exp{t2} dt in some way. Best I have so far is replacing F(x)=1+erf(x2)2 to end up with
2xf(x)F(x) dx=erf(x2)x12πexp{12x2} dx.
My attempts on partial integration have failed, any other ideas or does anyone succeed?




I have a document stating that the equality holds without any further remarks or calculations and I have confirmed it via integration by quadrature and am looking for an analytic proof.



Very thankful for any help.


Answer



We have
xf(x)dx=12πxex2/2dx=12πex2/2+C=f(x)+C,
so integrating by parts gives
2xf(x)F(x)dx=[2f(x)F(x)]+2f(x)2dx
since F=f. But f(x)2=ex2, which is only a scaling away from the standard normal, by putting x=y/2, so dx=dy/2, and hence
2xf(x)F(x)dx=222π=1π.



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