Mean of Multivariate Normal Random Vectors over a Region
Suppose x is a px1 normal distributed random vector with f(x) as the PDF with zero mean and identity covariance. How can I evaluate or approximate numerically the mean:
x_bar = int_A f(x) x dx
where A is either a rectangular or convex region in R^p? (If A is R^p then x_bar=0 trivially)
CJLam
.
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