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- Expected value? IMSL?

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ignacio82

Beginner

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03-05-2012
07:55 AM

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Expected value? IMSL?

Let say I have a function in fortran that is F(X,e1,e2) where e1 e2 are distributedbivariate normal.

Can somebody point me to an example of how to calculate the expected value of F? If it makes it easier I can use IMSL.

Thanks for the help!

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Ronald_G_Intel

Moderator

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03-07-2012
04:11 PM

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I will transfer this issue to that forum

ron

Ying_H_Intel

Employee

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03-08-2012
12:07 AM

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Not sure if MKL can help here.

MKL have VSL, which provide function for Random Number Generators,

for example,

and

VSL Summary Statistics routinescompute basic statistical estimates for single and double precision multi-dimensional datasets.

for example,

variance-covariance/correlation matrix.

anyway, you may refer the MKL reference manual at http://software.intel.com/en-us/articles/intel-math-kernel-library-documentation/.

Regards,

Ying H.

mecej4

Black Belt

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03-08-2012
08:15 AM

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The details will depend on the specific functional form of F. It is not clear if X is independent of the random variables.

One of the earliest examples of such a calculation is to be found in calculating the temperature of a gas in terms of the root-mean-square velocity of the molecules (J.C. Maxwell's Kinetic Theory).

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