i am trying to prove the identity in the title. I strongly think I need to use the error function erf(x)=2√π∫x0exp{−t2} dt in some way. Best I have so far is replacing F(x)=1+erf(x√2)2 to end up with
2∫∞−∞xf(x)F(x) dx=∫∞−∞erf(x√2)x1√2πexp{−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=1√2π∫xe−x2/2dx=−1√2πe−x2/2+C=−f(x)+C,
so integrating by parts gives
2∫∞−∞xf(x)F(x)dx=[−2f(x)F(x)]∞−∞+∫∞−∞2f(x)2dx
since F′=f. But f(x)2=e−x2, which is only a scaling away from the standard normal, by putting x=y/√2, so dx=dy/√2, and hence
2∫∞−∞xf(x)F(x)dx=2√2√2π=1√π.
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