[R]The integration of the square of the c.d.f of normal distribution
Roger Peng
rpeng at stat.ucla.edu
Fri Nov 8 00:09:29 CET 2002
I believe that the integral of F(x)^2 in this case is infinite. Do you
mean the normal _density_ squared?
Either way, you can use the integrate() function to check:
> f <- function(x) pnorm(x)^2
> integrate(f, -Inf, Inf)
Error in integrate(f, -Inf, Inf) : the integral is probably divergent
>
-roger
_______________________________
UCLA Department of Statistics
rpeng at stat.ucla.edu
http://www.stat.ucla.edu/~rpeng
On Thu, 7 Nov 2002, Feng Zhang wrote:
> Assume F(x) is the cdf of stardard normal c.d.f,
> and want to get the integration of F(x)^2 over
> (-infinite, +infinite).
>
> So whats the value of this integration?
> And is there some function to achieve this?
>
> Thanks.
>
>
>
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