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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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I will transfer this issue to that forum

ron

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Not sure if MKL can help here.

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

for example,

# vRngGaussian(), Generates normally distributed random numbers.

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.

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_{1}and e

_{2}are independent, in which case there are four random variables, or are dependent, in which case there are two or three random variables, you have to evaluate a two, three or four dimensional integral over the random variables, with ranges from - to +. It may or may not be possible to perform some of the integrations analytically.

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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