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Topic: Conditional probability
Replies: 1   Last Post: Feb 22, 2013 4:54 PM

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Tom Lane

Posts: 858
Registered: 12/7/04
Re: Conditional probability
Posted: Feb 22, 2013 4:54 PM
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> I am having some problems in calculating conditional probability. To
> explain my case, I have a normally distributed sample (say, mu = 5.0, std
> = 2.0) and I would like to calculate the integrated probability of picking
> two samples (x1,x2) with a difference larger than 2 (delta).
> Does anyone know how to code this? Any suggestions on related MATLAB
> functions or mathematical models would be appreciated.

Before you think about coding, you should be able to work out
(theoretically) the distribution of the difference. You seem to say you have
two values taken from a normal distribution with the same mean and standard
deviation. The formula for the distribution of their difference is pretty
simple. It will depend on the covariance (or correlation) between them, and
if you assume they are independent then the distribution is even simpler.

Then you could use normcdf in MATLAB to get the value you need.

-- Tom

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