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gbrown
on May 4, 2021
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The art of solving problems with Monte Carlo simul...
Wouldn’t it be even faster to solve that problem conditionally? P(x >= a)P(y >= a | x >= a), since the conditional distribution is known and normal?
mathrando
on May 4, 2021
[–]
You still need to integrate over x. y|x=c is Gaussian for each c, but there are many such c's in [a,inf].
If you're curious:
https://www.ams.org/journals/mcom/1978-32-141/S0025-5718-197...
gbrown
on May 4, 2021
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Ah, duh. Not enough coffee.
Consider applying for YC's Spring batch! Applications are open till Feb 11.
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