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Symbolic expectations and double integrals

asked 2012-01-21 09:07:56 +0100

Green diod gravatar image

updated 2012-01-28 18:26:38 +0100

I'd like to compute the following expectation ($U$ and $V$ are independent and normally distributed or Gaussian) $a_{k,p}=E(|U|^p|U+\sqrt{k-1}V|^p)$

Is there a way to directly compute those expectations in Sage ?

If I write it down, I obtain a double integral which I already tried to compute with maxima like this (ok here, you can only see the starting point with the inner integral with respect to $v$ first)

n(x):=pdf_normal(x, 0, 1);
inner_integral: integrate(abs(u+sqrt(k-1)*v)^p*n(v), v, minf, inf);

but to no avail.

NB: The absolute central moment $a_{1,p/2}$ can be easily obtained with maxima with

ratsimp(integrate(abs(x)^p*n(x), x, minf, inf));

but no 'simple' expression as for the aforementioned double integral.

Any hint?

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Since Sage uses Maxima for all of its symbolic integration, I find it unlikely we'll do better. We do have numerical routines of various types, but I don't think this is what you are looking for.

kcrisman gravatar imagekcrisman ( 2012-01-21 16:45:52 +0100 )edit

@kcrisman I thought that sometimes Sage could use sympy or some other CAS for symbolic integration. But then, I'm stuck here then.

Green diod gravatar imageGreen diod ( 2012-01-21 18:16:19 +0100 )edit

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answered 2012-01-21 18:25:05 +0100

Green diod gravatar image

updated 2012-01-21 18:26:52 +0100

Suppose n(x) was defined somehow (in fact, in extenso) but see also my related question about how to import Maxima built-in/package functions. My current result so far:

absm(p)=integral(abs(x)^p*n(x), x, -infinity, infinity)
    p |--> 2^(1/2*p)*gamma(1/2*p + 1/2)/sqrt(pi)
a(k,p)=integral(integral(abs(u)^p*abs(u+sqrt(k-1)*v)^p*n(v)*n(u), v, -infinity, infinity), u, -infinity, infinity)
    1/2*integrate(abs(u)^p*integrate(abs(sqrt(k - 1)*v + u)^p*e^(-1/2*u^2 - 1/2*v^2), v, -Infinity, +Infinity), u, -Infinity, +Infinity)/pi
    p |--> 2^(1/2*p)*gamma(1/2*p + 1/2)/sqrt(pi)
bool(absm == ab)

This is a partial result but a(k,p) can't be simplified in terms of gamma's or whatnots.

How do you make changes of variables in Sage?

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Asked: 2012-01-21 09:07:56 +0100

Seen: 1,004 times

Last updated: Jan 28 '12