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Truncated probability distributions

Colonel Sanders · 2007-03-30 16:42:38

Hello, was just wondering does anyone know if this can be done: we have X~Gamma(a,b). Y = Min(Gamma(x),t) i.e. Y is the value of a simulation from the Gamma distribution but with a maximum value of t. We know that E(Y) = k. What is the expected value of X? thanks in advance

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30-03-2007 5:42pm

#1

Colonel Sanders

Closed Accounts Posts: 7,669 ✭✭✭

Join Date: June 2006

Posts: 7362

Hello,

was just wondering does anyone know if this can be done:

we have X~Gamma(a,b).

Y = Min(Gamma(x),t) i.e. Y is the value of a simulation from the Gamma distribution but with a maximum value of t.

We know that E(Y) = k.

What is the expected value of X?

thanks in advance

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