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JOURNALS // Zapiski Nauchnykh Seminarov POMI // Archive

Zap. Nauchn. Sem. LOMI, 1984 Volume 136, Pages 5–12 (Mi znsl4769)

On unbiased estimation of $P(Y<X)$ in normal case

V. G. Voinov


Abstract: Under assumption that normally distributed random variables $X$ and $Y$ are independent new expressions for minimum variance unbiased estimates of the probability $P(Y<X)$ have been obtained. These estimates are given for two cases: - when distribution of $Y$ is comletely specified and when all parameters of the distributions of $X$ and $Y$ are unknown. The last estimate is nore suitable for practical applications than that of Downton [3].

UDC: 519.281



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