Exact calculation of inequality probabilities
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Abstract:

This note surveys results for computing the inequality probability P(X > Y )in closed form where X and Y are independent continuous random variables. Distribution families discussed include  normal,  Cauchy,  gamma,  inverse gamma,  Levy,  folded normal, and  beta. Mixture distributions are also discussed.

Subject Area:
Statistical Theory and Methods
Suggested Citation:
John D. Cook, "Exact calculation of inequality probabilities" (November 2009). UT MD Anderson Cancer Center Department of Biostatistics Working Paper Series. Working Paper 54.
http://www.bepress.com/mdandersonbiostat/paper54