A general treatment of alternative expectation formulae

Yang Liu

Statistics & Probability Letters, 2020, vol. 166, issue C

Abstract: The moment of a positive random variable can be obtained by using the survival function. In this paper, we extend existing studies by giving formulae of the expectation of a more general function with respect to a random variable by using either cumulative distribution function or survival function. Both univariate and multivariate examples are given. These formulae can evaluate the expectation when obtaining the probability density/mass function is difficult.

Keywords: Expectation; Singular distribution; Cumulative distribution function; Survival function; Monte Carlo simulation (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (4)

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DOI: 10.1016/j.spl.2020.108863

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