Re: Numerical Integrate
- To: mathgroup at smc.vnet.net
- Subject: [mg72883] Re: [mg72864] Numerical Integrate
- From: Bob Hanlon <hanlonr at cox.net>
- Date: Wed, 24 Jan 2007 05:30:04 -0500 (EST)
- Reply-to: hanlonr at cox.net
Needs["Statistics`"];
f1[x_]=PDF[NormalDistribution[0, 1],x];
f2[x_]=PDF[LogNormalDistribution[0, 1],x];
convolve[f_,g_, t_?NumericQ]:=
NIntegrate[f[u]*g[t-u],{u,0,t}];
NIntegrate[convolve[f1,f2,t],{t,-Infinity,0}]//Re
0.5
NIntegrate[convolve[f1,f2,t],{t,-Infinity,Infinity}]//Re
1.
Bob Hanlon
---- "mailcwc at gmail.com" <mailcwc at gmail.com> wrote:
> I need to perform the following integration:
>
> Integrate[ Convolution[G(t), X(t)], {t, -inf, 0}],
>
> where G is Normal distribution, and X is Log-normal distribution.
>
> As I know, there is no analytical form for the convolution.
> I tried NIntegrate to perform numerical calculation, but Mathematica
> can't accept it.
> Does anyone know how to deal such problem?
>